IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v56y2006i1-2p69-79.html
   My bibliography  Save this article

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

Author

Listed:
  • Filip Žikeš

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague)

  • Vít Bubák

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague)

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.

Suggested Citation

  • Filip Žikeš & Vít Bubák, 2006. "Seasonality and Non-Trading Effect on Central European Stock Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(1-2), pages 69-79, January.
    • Handle: RePEc:fau:fauart:v:56:y:2006:i:1-2:p:69-79
    as

    Download full text from publisher

    File URL: http://journal.fsv.cuni.cz/storage/1046_s_069_079.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
    2. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 203-214, June.
    3. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    4. Lakonishok, Josef & Maberly, Edwin, 1990. "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-243, March.
    5. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sabina Nowak & Joanna Olbrys, 2015. "Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 49-69.
    2. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
    3. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
    2. H. Kent Baker & Abdul Rahman & Samir Saadi, 2008. "The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 280-295, December.
    3. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    4. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    5. Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
    6. Denise R. Osborn & Christos S. Savva & Len Gill, 2008. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 307-325, Summer.
    7. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
    8. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    9. Jinghan Cai & Jibao He & Le Xia & Weili Zhai, 2017. "Weekend Effect and Short Sales: Evidence from Hong Kong," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(2), pages 8-18, 02-2017.
    10. Chen, Gongmeng & Kwok, Chuck C. Y. & Rui, Oliver M., 2001. "The day-of-the-week regularity in the stock markets of China," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 139-163, April.
    11. Halil Kiymaz & Hakan Berument, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, John Wiley & Sons, vol. 12(4), pages 363-380.
    12. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
    13. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 257-274, October.
    14. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    15. Hunjra, Ahmed Imran & Azam, Muhammad & Niazi, Ghulam Shabbir Khan & Butt, Babar Zaheer & Rehman, Kashif-Ur- & Azam, Rauf i, 2010. "Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets," MPRA Paper 40662, University Library of Munich, Germany.
    16. Abhakorn, Pongrapeeporn & Tantisantiwong, Nongnuch, 2012. "A reexamination of capital controls’ effectiveness: Recent experience of Thailand," Journal of Asian Economics, Elsevier, vol. 23(1), pages 26-38.
    17. Peter N. Smith & Steffen Sorensen & Michael Wickens, 2010. "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 134-152.
    18. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
    19. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
    20. Fabio Fornari, 2002. "The size of the equity premium," Temi di discussione (Economic working papers) 447, Bank of Italy, Economic Research and International Relations Area.

    More about this item

    Keywords

    conditional heteroskedasticity; day-of-week effect; non-trading effect; seasonality;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:56:y:2006:i:1-2:p:69-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.