Seasonality and Non-Trading Effect on Central European Stock Markets (in English)

Filip Žikeš () and Vit Bubak
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Filip Žikeš: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague

Czech Journal of Economics and Finance (Finance a uver), 2006, vol. 56, issue 1-2, 69-79

Abstract: This paper investigates seasonality and non-trading effects on central European stock markets within the framework of a periodic autoregressive model for both the mean and the volatility of stock returns. The authors find significant day-of-week effects in the mean of returns on the Czech PX-D and the Polish WIG indices, and significant seasonality in the volatility of the Hungarian BUX index. Similarly, the authors´ empirical results indicate the presence of the non-trading effect in the mean of WIG stock returns. The seasonal patterns in central European stock indices cannot, however, be attributed to any particular day-of-week effect.

Keywords: conditional heteroskedasticity; day-of-week effect; non-trading effect; seasonality (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:56:y:2006:i:1-2:p:69-79

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