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https://doi.org/10.1016/j.ruje.2017.02.007
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Calendar anomalies in the Russian stock market
[Zeitschriftenartikel]
Abstract This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency. Specifically, OLS, GARCH, EGARCH and TGARCH models are estim... mehr
This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency. Specifically, OLS, GARCH, EGARCH and TGARCH models are estimated using daily data for the MICEX market index over the period Sept. 1997-Apr. 2016. The empirical results show the importance of taking into account transactions costs (proxied by the bid-ask spreads): once these are incorporated into the analysis, calendar anomalies disappear, and therefore, there is no evidence of exploitable profit opportunities based on them that would be inconsistent with market efficiency.... weniger
Klassifikation
Volkswirtschaftstheorie
Freie Schlagwörter
calendar effects; Russian stock market; transaction costs
Sprache Dokument
Englisch
Publikationsjahr
2017
Seitenangabe
S. 101-108
Zeitschriftentitel
Russian Journal of Economics, 3 (2017) 1
ISSN
2618-7213
Status
Veröffentlichungsversion; begutachtet
Lizenz
Creative Commons - Namensnennung, Nicht kommerz., Keine Bearbeitung 4.0