Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2006 | Mathematical, econometrical and computational methods in finance and insurance | 15--20
Tytuł artykułu

Seasonality and the Non-Trading Effect on Central-European Stock Markets

Warianty tytułu
Języki publikacji
The analysis of seasonal patterns in the behavior of stock market returns has been of considerable interest during recent decades. The reason behind this curiosity remains clear: any predictable pattern in stock returns and variances may provide investors with returns in excess of the stock market average or from a specific portfolio benchmark. This paper focuses on one of the most common seasonal patterns, the so-called day-of-week effect. It has been observed in numerous studies that the distribution of stock returns may be different across the days of the week. Specifically, French and Keim and Stambaugh were among the first to confirm the weekend effect, or significantly low returns on Mondays. A similar pattern, although less pronounced and opposite in direction, was later confirmed by French and Roll who noticed a significant negative serial correlation in daily returns. In a more recent study, Baillie and Bollerslev report that daily stock return volatility tends to be higher following non-trading days. (fragment of text)
  • Charles University in Prague, Czech Republic
  • Abraham A., Ikenberry D.L.: The Individual Investor and the Weekend Effect ."Journal of Financial and Quantitative Analysis" 1990, No 29.
  • Baillie R.T., Bollerslev T.: The Message in Daily Exchange Rates: A Conditional Variance Tale. "Journal of Business and Economic Statistics" 1989, No 7.
  • Baillie R.T., DeGennaro R.P.: Stock Returns and Volatility. "Journal of Financial and Quantitative Analysis" 1990, No 25.
  • Bessembinder H., Hertzel M.G.: Return Autocorrelations around Non- trading Days. "Review of Financial Studies" 1993, No 6.
  • Bollerslev T., Ghysels E.: Periodic Autoregressive Conditional Heteroskedasticity. "Journal of Business and Economic Statistics" 1996, No 14.
  • Bollerslev T., Wooldridge J.M.: Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances. "Econometric Reviews" 1992, No 11.
  • Campbell J.Y., Hentschel L.: No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns. "Journal of Financial Economics" 1992, No 31.
  • Damodran A.: The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements. "Review of Financial Studies" 1989, No 2.
  • Franses P.H., Paap R.: Modelling Day-Of-Week Seasonality in the S&P 500 index. "Applied Financial Economics" 2000, No 10.
  • French K.R.: Stock Returns and the Weekend Effect. "Journal of Financial Economics" 1980, No 8.
  • French K.R., Roll R.: Stock Return Variances: The Arrival of Information and the Reaction of Traders. "Journal of Financial Economics" 1986, No 17.
  • French K.R., Schwert G., Stambaugh R.: Expected Stock Returns and Volatility. "Journal of Financial Economics" 1987, No 19.
  • Keim D.B., Stambaugh R.F.: A Further Investigation of the Weekend Effect in Stock Returns. "Journal of Finance" 1984, No 39.
  • Kyimanz H., Berument H.: The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. "Review of Financial Economics" 2003, No 12.
  • Lo A.W., MacKinlay C.: An Econometric Analysis of Non-Synchronous Trading. "Journal of Econometrics" 1990, No 45.
  • Murinde V., Poshakwale S.: Modelling the Volatility in East European Emerging Stock Markets: Evidence on Hungary and Poland. "Applied Financial Economics" 2001, No 4, Iss. 11.
  • Osborn D.R.: The Implications of Periodically Varying Coefficients for Seasonal Time Series Processes. "Journal of Econometrics" 1991, No 48.
  • Podpiera R.: International Cross Listing: The Effects of Market Fragmentation and Information Flows. Working Paper 173, CERGE-EI, Prague 2001.
  • Vošvrda M.S., Žikeš F.: An Application of the GARCH-t-model on Central European Stock Returns. "Prague Economic Papers" 2004, No 1.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.