Year: 2012
Type: article
Abstract: The aim of the paper is to estimate the day of the week effect in the stock markets in the Czech \nRepublic, Hungary and Poland over the period 2006–2012. The paper fills the gap in literature as \nthe most recent period and the countries covered by the present paper have not been studied yet. \nThe entire period of estimation is divided to six sub-periods capturing individual phases of the \nfinancial and economic crisis. We separately estimate a modified GARCH-M (1,1) model for each \ncountry and each sub-period using daily returns of the major national stock market indices. \nAlthough the markets share the main development trends the reactions of markets to domestic and \ninternational shocks differ remarkably. The day of the week effect is measured for both daily returns \nand conditional variance (volatility) of the returns. The results clearly indicate that there is a little \nevidence of day of the week effect. Daily calendar anomalies are rather sporadic, isolated, unstable \nover time and often opposite to theoretical assumptions. While some occurrences of the day of the \nweek effect were revealed in the Czech Republic and Poland, Hungary is almost completely free \nof anomalies. There is no phase of financial crisis characteristic of significantly increased incidence \nof day of the week effects. However, only stage with no day effect in returns was the pre-crisis \nperiod. We conclude that the day of the week effect is not typical for the Central European stock \nmarkets and the recent financial crisis seems to have no impact on existence of this phenomenon \nin the markets.
Authors: Daniel Stavárek, Tomáš Heryán
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2136429322