Stock markets' weekday effect in Visegrad countries: Did the financial crisis matter?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F11%3A%230001622" target="_blank" >RIV/47813059:19520/11:#0001622 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Stock markets' weekday effect in Visegrad countries: Did the financial crisis matter?

Original language description

We apply regression analysis and GARCH-M approach on data of daily stock market indices returns in the Czech Republic, Hungary, Poland and Slovakia. The investigated period is divided into the two sub-periods; before and after 17 March 2008. The resultsare mixed, however we found some evidence of partial weekday effects particularly in the Hungarian stock market. The impact of financial crisis on the weekday effect is uncertain.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2011

Confidentiality

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

Article name in the collection

Economies of Central and Eastern Europe: Convergence, Opportunities and Challenges. Conference Proceedings

ISBN

978-9949-430-50-5

ISSN

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e-ISSN

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Number of pages

12

Pages from-to

1-12

Publisher name

Tallinn University of Technology

Place of publication

Tallinn

Event location

Tallinn

Event date

Jun 12, 2011

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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