کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7388614 1480986 2017 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Calendar anomalies in the Russian stock market
ترجمه فارسی عنوان
انحرافات تقویم در بازار سهام روسیه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Russian Journal of Economics - Volume 3, Issue 1, March 2017, Pages 101-108
نویسندگان
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