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

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2019

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Arı, Kema

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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

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Graduate School of Social Sciences, Thesis

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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.