J 2012

Intraday and intraweek trade anomalies on the Czech stock market

DEEV, Oleg and Dagmar LINNERTOVÁ

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

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

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

Abstract

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.