REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES
2019 ◽
Vol 22
(2)
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pp. 213-236
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Keyword(s):
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.
1998 ◽
Vol 29
(3)
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pp. 119-133
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2006 ◽
Vol 11
(2)
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pp. 123-139
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1999 ◽
Vol 02
(03)
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pp. 375-398
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Keyword(s):
2017 ◽
Vol 14
(1)
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pp. 104-114
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Keyword(s):
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2021 ◽
Vol 1
(1)
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pp. 1
Keyword(s):