Calendar anomalies in the Russian stock market
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Voprosy Ekonomiki
2017-03-01
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| Series: | Russian Journal of Economics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405473917300077 |