Intraday and intraweek trade anomalies on the Czech stock
market

J 2012

Intraday and intraweek trade anomalies on the Czech stock market

DEEV, Oleg a Dagmar LINNERTOVÁ

Základní údaje

Originální název

Intraday and intraweek trade anomalies on the Czech stock market

Autoři

DEEV, Oleg (643 Rusko, garant, domácí) a Dagmar LINNERTOVÁ (203 Česká republika, domácí)

Vydání

Acta universitatis agriculturae et silviculturae Mendelianae Brunensis, Brno, Mendelova univerzita v Brně, 2012, 1211-8516

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/00216224:14560/12:00060725

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

stock market; stock returns; day-of-the-week effect; intraday effects; market efficiency

Příznaky

Recenzováno

Změněno: 7. 4. 2014 13:11, Ing. Dagmar Vágnerová Linnertová, Ph.D.

Anotace

V originále

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.

Citovat

DEEV, Oleg a Dagmar LINNERTOVÁ. Intraday and intraweek trade anomalies on the Czech stock market. Acta universitatis agriculturae et silviculturae Mendelianae Brunensis. Brno: Mendelova univerzita v Brně, 2012, LX, 4/2012, s. 79-88. ISSN 1211-8516.

@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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