An assessment of the day-of the-week-effect in BRICS countries

Autor:	Venkataramanaiah Malepati, K. Siva Nageswara Rao, Challa Madhavi Latha
Rok vydání:	2021
Předmět:	Index (economics) Stock exchange Names of the days of the week Autoregressive conditional heteroskedasticity Thursday Econometrics Stock market Augmented Dickey–Fuller test Stock (geology) Mathematics
Zdroj:	International Journal of Comparative Management. 1:1
ISSN:	2514-412X 2514-4111
DOI:	10.1504/ijcm.2021.10036217
Popis:	The present study investigates the stock market anomalies in the stock prices of premier stock exchanges in the BRICS countries. To reach out the objectives of the study, the researchers have adopted different econometric tools such as Descriptive Statistics, Augmented Dickey-Fuller test, Phillips-Perron test, Kwiatkowski Phillips Schmidt and Shin test, Generalised Autoregressive Conditional Heteroskedasticity (GARCH (1, 1)) and Simple Regression Method. The results evident the Thursday effect on the SSEC index of China while the other days' effect is quite insignificant. Further, Bovespa-Brazil, RTSI-Russia, BSE Sensex-India, and JSE-South Africa did not exhibit any mid-day effect during the study period. As per the analysis of GARCH (1, 1), the Wednesday effect could be found for Bovespa but the Thursday effect does not exist. The effect of Thursday for RTSI, SSEC and JSE is significant while the effect of Monday is significant for BSE Sensex and JSE.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e2c6c9cd444d1b128e568b34ec9d308a https://doi.org/10.1504/ijcm.2021.10036217 Zobrazit plný text záznamu