Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F11%3A%230002137" target="_blank" >RIV/47813059:19520/11:#0002137 - 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
Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis
Original language description
The aim of the paper is to estimate the day of the week effect in the stock markets in the Czech Republic, Hungary and Poland over the period 2006 - 2011. We separately estimate a modified GARCH-M (1,1) model for five sub-periods capturing individual phases of the financial crisis. We found mixed evidence on the day of the week presence. The anomalies in returns were revealed particularly in the stabilization phase and post-crisis period; however, they are opposite to usual findings presented in previous research. We did not discover any solid evidence of the day of the week effect in volatility of returns.
Czech name
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Czech description
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Project
<a href="/en/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procyclicality of financial markets, asset price bubbles and macroprudential regulation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
PROCEEDINGS OF THE 29TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2011, PTS I AND II
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
647-652
Publisher name
PROFESSIONAL PUBLISHING
Place of publication
Praha
Event location
Jánská Dolina, SR
Event date
Jan 1, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000309074600107

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