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The Weekend Effect Analysed by S&P 500, FTSE 100 and Nikkei 225 Indices

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F14%3A43909409" target="_blank" >RIV/62156489:43110/14:43909409 - isvavai.cz</a>

  • Result on the web

    <a href="http://www.vedeckekonference.cz/library/proceedings/mmk_2014.pdf" target="_blank" >http://www.vedeckekonference.cz/library/proceedings/mmk_2014.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Weekend Effect Analysed by S&P 500, FTSE 100 and Nikkei 225 Indices

  • Original language description

    The paper is focused on the weekend effect, which is one of market anomalies. These anomalies occur in stock markets. The aim of the paper is the assessment of this effect on chosen stock indices. Daily returns of indices during the 1984-2013 are analysed, especially returns in individual days. Two investment strategies are analysed for each index. As for the first strategy, the shares are bought always on Monday immediately before the market closing and the holding period is always 4 days. As for the second strategy, the shares are bought on Monday 9th January 1984 and sold on Friday 27th December 2013. As for the contribution of the paper, existence of the weekend effect is investigated according to historical average daily returns and according to testing at the 5 % significance level. Based on this fact, investment strategies which outperform the market performance could be created.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    Z - Vyzkumny zamer (s odkazem do CEZ)

Others

  • Publication year

    2014

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Sborník příspěvků z mezinárodní vědecké konference MMK 2014: Mezinárodní Masarykova konference pro doktorandy a mladé vědecké pracovníky

  • ISBN

    978-80-87952-07-8

  • ISSN

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    1448-1455

  • Publisher name

    Magnanimitas

  • Place of publication

    Hradec Králové

  • Event location

    Hradec Králové

  • Event date

    Dec 15, 2014

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article