Intraday and intraweek trade anomalies on the Czech stock market

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Intraday and intraweek trade anomalies on the Czech stock market

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Intraday and intraweek trade anomalies on the Czech stock market

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název periodika

Acta universitatis agriculturae et silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Svazek periodika

LX

Číslo periodika v rámci svazku

4/2012

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

79-88

Kód UT WoS článku

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EID výsledku v databázi Scopus

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