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  • 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.
  • 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. (en)
Title
  • Intraday and intraweek trade anomalies on the Czech stock market
  • Intraday and intraweek trade anomalies on the Czech stock market (en)
skos:prefLabel
  • Intraday and intraweek trade anomalies on the Czech stock market
  • Intraday and intraweek trade anomalies on the Czech stock market (en)
skos:notation
  • RIV/00216224:14560/12:00060725!RIV13-MSM-14560___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...iv/cisloPeriodika
  • 4/2012
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 142749
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14560/12:00060725
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • stock market; stock returns; day-of-the-week effect; intraday effects; market efficiency (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [33D286C018A1]
http://linked.open...i/riv/nazevZdroje
  • Acta universitatis agriculturae et silviculturae Mendelianae Brunensis
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • LX
http://linked.open...iv/tvurceVysledku
  • Deev, Oleg
  • Linnertová, Dagmar
issn
  • 1211-8516
number of pages
http://localhost/t...ganizacniJednotka
  • 14560
is http://linked.open...avai/riv/vysledek of
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