Im from Switzerland and have some difficulties using Stata. I hope there are some experts here which can help me.
For a work im checking the existence of Anomalies in the Swiss stock market. I have a dataset which looks like that (just an example to illustrate, not true data):
Date | Nestle | UBS | Credit Suisse |
04 January 1997 | 0.004 | -0.0042 | 0.0072 |
05 January 1997 | -0.0038 | 0.0042 | 0.0100 |
05 January 1997 | 0.0042 | 0.0042 | 0.0093 |
Now my question: Is there a command in Stata in which the list (over 300 companies for the period from 1993 to 2019) is calculated for my portfolio? So every monday return multiplied with -4 and every other day of the week multiplied with +1?
I would need the same for the Semi-month effect (1. half of the month multiplied with +1 and 2. half of the month multiplied with -1)
To summarize: I am looking for a command in which i can say something like: Multiply the returns of the first 15 days of the month with +1 and multiply the returns of the remaining days of the month with -1.
I hope my question is somehow clear, if not please let me know so i can rephrase it. Thank you in advance for every help!
Best,
Anthony
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