Publication at Faculty of Social Sciences |
2006
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.