Intraday and intraweek trade anomalies on the Czech stock market

Oleg Deev and Dagmar Vágnerová Linnertová ()

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2012, vol. 60, issue 4, 79-88

Abstract: 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 efficiency 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 efficiency over the studied period, when the Czech Republic's accession to the EU implied the increase in efficiency and the global financial crisis led to opposite results and regularities, which are not yet fully overcomed. Additionally, significant hour-of-the-day effect (open jump effect) in the index returns is established.

Keywords: stock market; stock returns; day-of-the-week effect; intraday effects; market efficiency (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2012060040079

DOI: 10.11118/actaun201260040079

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