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
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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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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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
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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
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EID of the result in the Scopus database
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