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Volume 56, Issue 1 -2


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

Bubák, Vít; Žikeš, Filip

Year: 2006   Volume: 56   Issue: 1 -2   Pages: 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.

JEL classification: G10

Keywords: onditional heteroskedasticity; day-of-week effect; non-trading effect; seasonality

RePEc: http://ideas.repec.org/a/fau/fauart/v56y2006i1-2p69-79.html

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