Theoretical and Real Trading-Day Frequencies

Authored by: Dominique Ladiray

Economic Time Series

Print publication date:  March  2012
Online publication date:  March  2012

Print ISBN: 9781439846575
eBook ISBN: 9781439846582
Adobe ISBN:


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Practically, all economic time series are computed and published according to the Gregorian calendar, a calendar based on the motion of the earth around the sun. This solar calendar also brings rhythm to our lives and usually has a deep impact on the economy. The most well-known and important calendar effect is seasonality, often defined as fluctuations observed during the year (each month, each quarter) that appear to repeat themselves with a more or less regular magnitude from one year to the other. But most economic indicators are also linked, directly or indirectly, to a daily activity, which is usually summed up and reported each month or each quarter. In this case, the number of working days, which varies from one month to another in a quasi-predetermined way, can explain some short-term movements in the time series. One more Saturday in a month, for example drastically impacts the retail trade turnover in European countries. Apart from the day composition of the month, other calendar effects such as public holidays or religious events may also affect the series. Religious events are often closely linked to other calendars and their dates, expressed in the Gregorian calendar, may not be fixed. This is the case for Easter whose date, linked to the full moon, is usually expressed in the Gregorian calendar for Western Christian countries and in the Julian calendar for Eastern Orthodox countries.

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