LINNERTOVÁ, Dagmar, Martin CUPAL and Oleg DEEV. Investigation of the Weekend Effect on the Prague Stock Exchange. In Petr Červinek. European Financial Systems 2012. Brno: Masarykova univerzita, 2012, p. 131-135. ISBN 978-80-210-5940-5.
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Basic information
Original name Investigation of the Weekend Effect on the Prague Stock Exchange
Authors LINNERTOVÁ, Dagmar (203 Czech Republic, guarantor, belonging to the institution), Martin CUPAL (203 Czech Republic, belonging to the institution) and Oleg DEEV (643 Russian Federation, belonging to the institution).
Edition Brno, European Financial Systems 2012, p. 131-135, 5 pp. 2012.
Publisher Masarykova univerzita
Other information
Original language English
Type of outcome Proceedings paper
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
Publication form printed version "print"
RIV identification code RIV/00216224:14560/12:00060923
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-5940-5
UT WoS 000316422800023
Keywords in English EMT; weekend effect; close to close; PSE
Tags Reviewed
Changed by Changed by: Ing. Dagmar Vágnerová Linnertová, Ph.D., učo 76289. Changed: 7/4/2014 13:11.
Abstract
Since the 1980's numerous studies based on historical data have shown that stock returns depend on the day of the week. So called weekend effect suggests that stock returns on Mondays are often significantly lower than those of the immediately preceding Fridays. In this proceeding we will apply the analysis of the weekend effect on the Prague Stock Exchange. We argue that the stock return on PSE (represented with PX Index), measured as closing to closing prices, should depend on the day of the week. In general, we assumed that the returns on Mondays should be lower and the returns on Fridays should be higher and also Monday return is significantly lower than the nonMonday return.
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