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@article{990764, author = {Deev, Oleg and Linnertová, Dagmar}, article_location = {Brno}, article_number = {4/2012}, keywords = {stock market; stock returns; day-of-the-week effect; intraday effects; market efficiency}, language = {eng}, issn = {1211-8516}, journal = {Acta universitatis agriculturae et silviculturae Mendelianae Brunensis}, title = {Intraday and intraweek trade anomalies on the Czech stock market}, url = {http://www.mendelu.cz/dok_server/slozka.pl?id=57208;download=97641}, volume = {LX}, year = {2012} }
TY - JOUR ID - 990764 AU - Deev, Oleg - Linnertová, Dagmar PY - 2012 TI - Intraday and intraweek trade anomalies on the Czech stock market JF - Acta universitatis agriculturae et silviculturae Mendelianae Brunensis VL - LX IS - 4/2012 SP - 79-88 EP - 79-88 PB - Mendelova univerzita v Brně SN - 12118516 KW - stock market KW - stock returns KW - day-of-the-week effect KW - intraday effects KW - market efficiency UR - http://www.mendelu.cz/dok_server/slozka.pl?id=57208;download=97641 L2 - http://www.mendelu.cz/dok_server/slozka.pl?id=57208;download=97641 N2 - The paper examines intraday and intraweek market returns on the Czech stock market for the search of time and seasonal anomalies in its activities during the last ten years. Existence or absence of anomalies indicates the effi ciency of the market. A group of regression models and GARCH (1,1) model is used for the analysis of daily and high frequency data of the PX index. Time varying nature of market seasonalities is revealed with the Czech equity market having implications for changing effi ciency over the studied period, when the Czech Republic’s accession to the EU implied the increase in effi ciency and the global fi nancial crisis led to opposite results and regularities, which are not yet fully overcomed. Additionally, signifi cant hour-of-the-day eff ect (open jump eff ect) in the index returns is established. ER -
DEEV, Oleg a Dagmar LINNERTOVÁ. Intraday and intraweek trade anomalies on the Czech stock market. \textit{Acta universitatis agriculturae et silviculturae Mendelianae Brunensis}. Brno: Mendelova univerzita v Brně, 2012, LX, 4/2012, s.~79-88. ISSN~1211-8516.
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