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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
[journal article]
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... view more
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.... view less
Classification
National Economy
Free Keywords
calendar effects; Russian stock market; transaction costs
Document language
English
Publication Year
2017
Page/Pages
p. 101-108
Journal
Russian Journal of Economics, 3 (2017) 1
ISSN
2618-7213
Status
Published Version; reviewed
Licence
Creative Commons - Attribution-Noncommercial-No Derivative Works 4.0