DEEV, Oleg and 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, p. 79-88. ISSN 1211-8516.
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Basic information
Original name Intraday and intraweek trade anomalies on the Czech stock market
Authors DEEV, Oleg (643 Russian Federation, guarantor, belonging to the institution) and Dagmar LINNERTOVÁ (203 Czech Republic, belonging to the institution).
Edition Acta universitatis agriculturae et silviculturae Mendelianae Brunensis, Brno, Mendelova univerzita v Brně, 2012, 1211-8516.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/00216224:14560/12:00060725
Organization unit Faculty of Economics and Administration
Keywords in English stock market; stock returns; day-of-the-week effect; intraday effects; market efficiency
Tags Reviewed
Changed by Changed by: Ing. Dagmar Vágnerová Linnertová, Ph.D., učo 76289. Changed: 7/4/2014 13:11.
Abstract
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.
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