Calendar anomalies in major emerging countries: day-of-the-week and month-of-the-year effects.

Download

index.pdf

Date

2019

Author

Arı, Kema

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

221
views

127
downloads

Market anomalies have attracted many investors and researchers for several decades as they eagerly seek to either beat the market to generate abnormal profits or gain a thorough understanding of those anomalies. Emerging countries, held in high esteem by the worldwide investment community for their rapid growth and diversification benefits they provide, are the main focus of this study. The market efficiency of the major emerging markets, Brazil, Russia, India, China, South Africa, and Turkey are evaluated in this research through the investigation of the popular calendar anomalies, day-of-the-week effect, and month-of-the year effect. Moreover, the day-of-the-week effect is further examined according to the direction of the previous day's price change. The study has two primary aims: 1. Analyzing and presenting the effects of the days of the week and months of the year on stock and stock index returns in the major emerging countries 2. Determining whether the day-of-the-week and the month-of-the-year effects that would possibly be revealed by the empirical findings of this research are consistent over time Data from a total of 20 stock market indices and 600 individual stocks from the six emerging countries are used in the analyses for the time period of 1992 – 2018. GARCH (1,1) model is used in the analyses, and the results reveal that all six countries have the day-of-the-week effects on the market returns, however, after the 2008 financial crisis, those effects disappear for the markets of Brazil, Russia, and India. Regarding the month-of-the-year anomaly, for Brazilian, Russian, South African, and Turkish markets, the monthly effects are apparent.

Subject Keywords

GARCH model., Calendar Anomalies, GARCH, BRICS, Turkey.

URI

http://etd.lib.metu.edu.tr/upload/12624895/index.pdf
https://hdl.handle.net/11511/45338

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Financial crises and the nature of correlation between commodity and stock markets ÖZTEK, MEHMET FATİH; Öcal, Nadir (2017-03-01) This paper models time-varying correlations between commodity and stock markets to uncover the dynamic nature of correlations during the financialization of commodity markets and in the aftermath of the recent financial crisis. Particularly, we search for upward trends in correlations and investigate the impacts of global and market volatility, and the news from the markets on the time-varying structure of correlations. The focus is on two commodity sub-indices; agricultural commodity and precious metal. Ne...
An Analysis of momentum and mean reversion effects on equity indices Özbilge, Armağan; Yolcu Okur, Yeliz; Nazlıben, Kamil Korhan; Department of Financial Mathematics (2015) Momentum and mean-reversion effects have become very popular in finance literature for the last two decades since their presence can generate abnormal profit patterns by applying either relative strength or contrarian trading strategy accordingly. Even though there are some common factor explanations for return reversals, they might not provide the full picture for return persistence. In our theoretical framework, we analyse some of the well-known discrete time momentum studies including the initial one and...
Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets Kocaarslan, BARIŞ; Sarı, Ramazan; GORMUS, Alper; Soytaş, Uğur (2017-09-01) This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our res...
Product diversification and profitability a case study: Vestel A.Ş. Akgül, Banu; Erdil, Erkan; Doğan, Kutsal; Department of Economics (2015) The aim of this study is to examine the effect of diversification on the profitability of a firm. To this end, Vestel Co. is examined by conducting an econometric analysis with panel data gathered from different departments of the firm. Importance and the most significant contribution of this study to the literature is that it analyzes a single firm in contrast to the studies including lots of firms operating in the same sector; and this allows us to examine the effect of diversification over time, through ...
Managing financial instability in emerging markets: A Keynesian perspective Akyüz, Yılmaz (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2008-6) The Keynesian analysis of financial instability as developed by Hyman Minsky provides considerable insights into understanding the nature and dynamics of boom-bust cycles driven by international capital flows in emerging markets. Its main policy conclusion that financial control rather than macroeconomic policy holds the key to financial stability is equally valid. There is, however, need to develop a new approach to financial control and place greater emphasis on managing capital inflows than has hitherto ...

Citation Formats

K. Arı, “Calendar anomalies in major emerging countries: day-of-the-week and month-of-the-year effects.,” Thesis (M.S.) -- Graduate School of Social Sciences. Business Administration., Middle East Technical University, 2019.