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