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
—