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

Kód výsledku v 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>

Výsledek na webu

<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

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

ISBN

978-80-87952-07-8

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

1448-1455

Název nakladatele

Magnanimitas

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

15. 12. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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