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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F12%3A%230001684%21RIV13-MSM-19520___
rdf:type
skos:Concept n16:Vysledek
dcterms: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 2006-2012. 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 opposite to theoretical assumptions. While some occurrences of the day of the week effect were revealed in the Czech Republic and Poland, Hungary is almost completely free of anomalies. There is no phase of financial crisis characteristic of significantly increased incidence of day of the week effects. However, only stage with no day effect in returns was the pre-crisis period. We conclude that the day of the week effect is not typical for the Central European stock markets and the recent financial crisis seems to have no impact on existence of this phenomenon in the markets. 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 opposite to theoretical assumptions. While some occurrences of the day of the week effect were revealed in the Czech Republic and Poland, Hungary is almost completely free of anomalies. There is no phase of financial crisis characteristic of significantly increased incidence of day of the week effects. However, only stage with no day effect in returns was the pre-crisis period. We conclude that the day of the week effect is not typical for the Central European stock markets and the recent financial crisis seems to have no impact on existence of this phenomenon in the markets.
dcterms:title
Day of the Week Effect in Central European Stock Markets Day of the Week Effect in Central European Stock Markets
skos:prefLabel
Day of the Week Effect in Central European Stock Markets Day of the Week Effect in Central European Stock Markets
skos:notation
RIV/47813059:19520/12:#0001684!RIV13-MSM-19520___
n16:predkladatel
n18:orjk%3A19520
n5:aktivita
n13:S
n5:aktivity
S
n5:cisloPeriodika
4
n5:dodaniDat
n6:2013
n5:domaciTvurceVysledku
n7:9874798 n7:9301623
n5:druhVysledku
n9:J
n5:duvernostUdaju
n8:S
n5:entitaPredkladatele
n15:predkladatel
n5:idSjednocenehoVysledku
129695
n5:idVysledku
RIV/47813059:19520/12:#0001684
n5:jazykVysledku
n17:eng
n5:klicovaSlova
day-of-the-week effect, calendar anomalies, stock market, GARCH-M model, financial crisis
n5:klicoveSlovo
n11:financial%20crisis n11:stock%20market n11:day-of-the-week%20effect n11:calendar%20anomalies n11:GARCH-M%20model
n5:kodStatuVydavatele
CZ - Česká republika
n5:kontrolniKodProRIV
[F80C80EFC315]
n5:nazevZdroje
E+M Ekonomie a Management
n5:obor
n14:AH
n5:pocetDomacichTvurcuVysledku
2
n5:pocetTvurcuVysledku
2
n5:rokUplatneniVysledku
n6:2012
n5:svazekPeriodika
15
n5:tvurceVysledku
Stavárek, Daniel Heryán, Tomáš
n5:wos
000313469200011
s:issn
1212-3609
s:numberOfPages
13
n12:organizacniJednotka
19520