REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES

Autor:	Kimberly Weber, Harald Kinateder, Niklas Wagner
Jazyk:	indonéština
Rok vydání:	2019
Předmět:	Efficient-market hypothesis adaptive market hypothesis Autoregressive conditional heteroskedasticity market efficiency lcsh:Finance lcsh:HG1-9999 Economics holiday effects Monetary economics calendar effects Abnormal returns Finance
Zdroj:	Bulletin Ekonomi Moneter dan Perbankan, Vol 22, Iss 2, Pp 213-236 (2019)
ISSN:	2460-9196 1410-8046
Popis:	We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays. The TOM effect is validated, while we interestingly find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and a post-holiday effect, the Chinese market is anomalous before public holidays and the South African market is affected after holidays only.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c853d1d83c7e9557c4c498bd3263db22 https://www.bmeb-bi.org/index.php/BEMP/article/view/1092 Zobrazit plný text záznamu