Daylight Saving Time and Stock Market Returns: Evidence from the Visegrad Group
|Author:||Mgr. Peter Kúdeľa|
|Year:||2021 - summer|
|Leaders:|| doc. PhDr. Zuzana Havránková Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||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 prevailingly illiquid. We combine the most recent financial data with the ARIMAGARCH framework while employing brand-new Bayesian techniques. Using
several robustness checks, we show that such eect 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 eects of daylight saving policy do not
pertain to less liquid markets.