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Intraday and intraweek trade anomalies on the Czech stock market

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F12%3A00060725" target="_blank" >RIV/00216224:14560/12:00060725 - isvavai.cz</a>

  • Result on the web

    <a href="http://www.mendelu.cz/dok_server/slozka.pl?id=57208;download=97641" target="_blank" >http://www.mendelu.cz/dok_server/slozka.pl?id=57208;download=97641</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Intraday and intraweek trade anomalies on the Czech stock market

  • Original language description

    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.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2012

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Acta universitatis agriculturae et silviculturae Mendelianae Brunensis

  • ISSN

    1211-8516

  • e-ISSN

  • Volume of the periodical

    LX

  • Issue of the periodical within the volume

    4/2012

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    10

  • Pages from-to

    79-88

  • UT code for WoS article

  • EID of the result in the Scopus database