Day of the Week Effect in Central European Stock Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230001684" target="_blank" >RIV/47813059:19520/12:#0001684 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Day of the Week Effect in Central European Stock Markets

Popis výsledku v původním jazyce

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 2006-2012. The paper fills the gap in literature as the most recent period and the countries covered by the present paper have not been studied yet. The entire period of estimation is divided to six sub-periods capturing individual phases of the financial and economic crisis. We separately estimate a modified GARCH-M (1,1) model for each country and each sub-period using daily returns of the major national stock market indices. Although the markets share the main development trends the reactions of markets to domestic and international shocks differ remarkably. The day of the week effect is measured for both daily returns and conditional variance (volatility) of the returns. The results clearly indicate that there is a little evidence of day of the week effect. Daily calendar anomalies are rather sporadic, isolated, unstable over time and often o

Název v anglickém jazyce

Day of the Week Effect in Central European Stock Markets

Popis výsledku anglicky

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 2006-2012. The paper fills the gap in literature as the most recent period and the countries covered by the present paper have not been studied yet. The entire period of estimation is divided to six sub-periods capturing individual phases of the financial and economic crisis. We separately estimate a modified GARCH-M (1,1) model for each country and each sub-period using daily returns of the major national stock market indices. Although the markets share the main development trends the reactions of markets to domestic and international shocks differ remarkably. The day of the week effect is measured for both daily returns and conditional variance (volatility) of the returns. The results clearly indicate that there is a little evidence of day of the week effect. Daily calendar anomalies are rather sporadic, isolated, unstable over time and often o

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

E+M Ekonomie a Management

ISSN

1212-3609

e-ISSN

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Svazek periodika

15

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

13

Strana od-do

134-146

Kód UT WoS článku

000313469200011

EID výsledku v databázi Scopus

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