REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES

  • Harald Kinateder University of Passau
  • Kimberly Weber
  • Niklas Wagner
Keywords: Abnormal returns, adaptive market hypothesis, calendar effects, holiday effects, market efficiency

Abstract

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.

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Published
2019-07-31
Section
Articles