- Author
- Vesela Jitka
- Title
- Does the January Effect and "The Day of the Week Effect" Influence the Prague Stock Exchange?
- Source
- Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2008, nr 13, s. 427-436, tab., rys., bibliogr. 18 poz.
- Keyword
- Giełda papierów wartościowych
Stock market - Note
summ.- Abstract
- Conducted calculations proved some JanuEiry Effect signs on PSE. If it is possible to observe these signs repeatedly, we can consider altemative that will use the January Effect for constructing such inyestments strategy, that will, on certain conditions, bring the investor abnormal return. Con¬ducted calculations related to the impact of the Day of the week Effect on PSE imply that on the Czech market there is no stable stock price yolatility pattem that could be used for construct successfuUy investment strategies. While interpreting the above-mentioned calculations and studies' results it is necessary to con¬sider that we did not use identical time series and moreover, we did not take into account transactional costs. (original abstract)
- Accessibility
- The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Szczecin University Main Library - Bibliography
-
- Bodie Z., Kane A., Marcus A.J.: Investments. McGraw-Hill/Irwin, New York, 1996 ISBN 0-256-14638-1.
- Chou R.K.: Size Effect, January Effect, and Capital Gain Taxes. PACAP/FMA Conference, Melbourne 2000, Australia.
- Filip M.: Pondilni efekt - existuje na praske burze? "Financial Review" 1998, No. 9.
- Fuller R.J., Farrell J.L.: Modern Investments and Securities Analysis. McGraw-Hill 1987, ISBN 0-07-100422-X.
- Gibbons M.R., Hess P: Day of the Week Effects and Asset Returns, "Journal of Business" 1981, Octobcer
- Gutelkin M.N., Gutelkin B.V.: Stock Market Seasonality: International Evidence. "Journal of Financial Economies" 1983, December
- Haugen R.A.: Modern Imestment Theory. Prentice Hall, Englewood CUffs 1993, ISBN 0-13-594334-5
- Haugen R.A.: The New Finance: The Case Against Efficient Markets. Prentice Hall 1999.
- Keim D.B.: Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence. "Journal of Financial Economies" 1983.
- Levy H.: Introduction to Investments. South-Western College PubUshing, Cincinnati, Ohio 1996, ISBN 0-538-85998-9.
- Rozeff M.S., Kinney W.R.: Capital Market Seasonality: Case of Stock Returns. "Journal of Financial Economies" 1976.
- Sears R.S., Trennepohl, G.L.: Imestment Management. The Dryden Press, Orlando, Florida 1993 ISBN 0-03-098953-1.
- Simek J.: Testovdni vyskytu yybranych anomalii na kapitdlovych trzich v tR, Nimecku, Yelke Britanii a Japonsku. Diplomova prace, 2004.
- Yeseld J.: Analyzy trhu cennych papiru -1. dii. YŚE Praha 1999, ISBN 80-7079-563-8.
- Yesela J.: Burzy a burzovni obchody - vychozi texty ke studiu. Oeconomica, Praha 2005, ISBN 80-245-0939-3.
- Yesela J.: lnvestovdni na kapitdlovych trzich. ASPI Wolters Kluwer, Praha 2007, ISBN 978-80-7357-297-6.
- Zednik J.: Mo*nosti powili deterministickych a stochastickych modelii ekonomickych easovych 0ad pro testovdniefektimosti akcioveho trhu V ER. Diplomoa prace, 2003.
- www.akcie.cz,www.damodaran.comwww.ncu.edu.tw,www.pse.cz.
- Cited by
- ISSN
- 1640-6818
1733-2842 - Language
- eng
