Žikeš, Filip; Bubák, Vít - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 1-2, pp. 69-79
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...