Do investors make bad decisions following the clock change? If so, there would be traces of such anomaly in market data. In this thesis, we investigate these traces focusing on the stock markets of the Visegrad Group, known to be pre- vailingly illiquid. We combine the most recent financial data with the ARIMA- GARCH framework while employing brand-new Bayesian techniques. Using several robustness checks, we show that such e ect cannot be traced in these markets. While we do not claim to challenge the seminal works in this field, we do support the evidence that the e ects of daylight saving policy do not pertain to less liquid markets. JEL Classification C11, G12, G14, G41 Keywords daylight saving time, market anomaly, Visegrad Group, Bayesian analysis Title Daylight Saving Time and Stock Market Re- turns: Evidence from the Visegrad Group
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:447203 |
| Date | January 2021 |
| Creators | Kúdeľa, Peter |
| Contributors | Havránková, Zuzana, Novák, Jiří |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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