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...

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Main Authors:	Guglielmo Maria Caporale, Valentina Zakirova
Format:	Article
Language:	English
Published:	Voprosy Ekonomiki 2017-03-01
Series:	Russian Journal of Economics
Subjects:	calendar effects Russian stock market transaction costs
Online Access:	http://www.sciencedirect.com/science/article/pii/S2405473917300077

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spelling	doaj-a899c1a701774dcda30b2988cfe45d0b2020-11-25T01:31:13ZengVoprosy EkonomikiRussian Journal of Economics2405-47392017-03-013110110810.1016/j.ruje.2017.02.007Calendar anomalies in the Russian stock marketGuglielmo Maria Caporale0Valentina Zakirova1Brunel University London, United KingdomNational Research University Higher School of Economics, Moscow, RussiaThis 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.http://www.sciencedirect.com/science/article/pii/S2405473917300077calendar effectsRussian stock markettransaction costs
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Guglielmo Maria Caporale Valentina Zakirova
spellingShingle	Guglielmo Maria Caporale Valentina Zakirova Calendar anomalies in the Russian stock market Russian Journal of Economics calendar effects Russian stock market transaction costs
author_facet	Guglielmo Maria Caporale Valentina Zakirova
author_sort	Guglielmo Maria Caporale
title	Calendar anomalies in the Russian stock market
title_short	Calendar anomalies in the Russian stock market
title_full	Calendar anomalies in the Russian stock market
title_fullStr	Calendar anomalies in the Russian stock market
title_full_unstemmed	Calendar anomalies in the Russian stock market
title_sort	calendar anomalies in the russian stock market
publisher	Voprosy Ekonomiki
series	Russian Journal of Economics
issn	2405-4739
publishDate	2017-03-01
description	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.
topic	calendar effects Russian stock market transaction costs
url	http://www.sciencedirect.com/science/article/pii/S2405473917300077
work_keys_str_mv	AT guglielmomariacaporale calendaranomaliesintherussianstockmarket AT valentinazakirova calendaranomaliesintherussianstockmarket
_version_	1725087952381411328

Calendar anomalies in the Russian stock market

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