Publication details

Intraday and intraweek trade anomalies on the Czech stock market



Year of publication 2012
Type Article in Periodical
Magazine / Source Acta universitatis agriculturae et silviculturae Mendelianae Brunensis
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords stock market; stock returns; day-of-the-week effect; intraday effects; market efficiency
Description 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.

You are running an old browser version. We recommend updating your browser to its latest version.

More info