About: Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis Goto Sponge Distinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	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 - 2011. We separately estimate a modified GARCH-M (1,1) model for five sub-periods capturing individual phases of the financial crisis. We found mixed evidence on the day of the week presence. The anomalies in returns were revealed particularly in the stabilization phase and post-crisis period; however, they are opposite to usual findings presented in previous research. We did not discover any solid evidence of the day of the week effect in volatility of returns. 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 - 2011. We separately estimate a modified GARCH-M (1,1) model for five sub-periods capturing individual phases of the financial crisis. We found mixed evidence on the day of the week presence. The anomalies in returns were revealed particularly in the stabilization phase and post-crisis period; however, they are opposite to usual findings presented in previous research. We did not discover any solid evidence of the day of the week effect in volatility of returns. (en)
Title	Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis (en)
skos:prefLabel	Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis (en)
skos:notation	RIV/47813059:19520/11:#0002137!RIV13-GA0-19520___
http://linked.open...avai/predkladatel	Obchodně podnikatelská fakulta v Karviné
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GAP403/11/2073)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Heryán, Tomáš Stavárek, Daniel
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Slezská univerzita v Opavě / Obchodně podnikatelská fakulta v Karviné
http://linked.open...dnocenehoVysledku	189036
http://linked.open...ai/riv/idVysledku	RIV/47813059:19520/11:#0002137
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	day of the week effect, stock market, financial crisis, Central Europe (en)
http://linked.open.../riv/klicoveSlovo	Central Europe financial crisis day of the week effect stock market
http://linked.open...ontrolniKodProRIV	[BD27B5E3FCE3]
http://linked.open...v/mistoKonaniAkce	Jánská Dolina, SR
http://linked.open...i/riv/mistoVydani	Praha
http://linked.open...i/riv/nazevZdroje	PROCEEDINGS OF THE 29TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2011, PTS I AND II
http://linked.open...in/vavai/riv/obor	AE
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Procyclicality of financial markets, asset price bubbles and macroprudential regulation
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Heryán, Tomáš Stavárek, Daniel
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000309074600107
http://linked.open.../riv/zahajeniAkce	2011-01-01 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	PROFESSIONAL PUBLISHING
https://schema.org/isbn	978-80-7431-058-4
http://localhost/t...ganizacniJednotka	19520
is http://linked.open...avai/riv/vysledek of	Calendar Anomalies in the Central European Stock Exchanges during the Financial Crisis

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 118 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software