REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES
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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References
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Evidence from advanced Emerging Stock Markets. Quarterly Review of Economics and Finance, 66, 169-181.
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Anomalies. Applied Financial Economics, 22, 1931-1949.
Sharma, G., Mittal, S., and Khurana, P. (2014): Month of the Year Anomalies in
Stock Markets: Evidence from India, International Journal of Applied Economics
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Sun, Q., and Tong, W. (2010). Risk and the January Effect. Journal of Banking and
Finance, 34, 965-974.
Tsay, R. (2002). Analysis of Financial Time Series. Financial Econometrics (John
Wiley & Sons, Inc. New York).
Uyaebo, S., Atoi, V., and Usman, F. (2015). Nigeria Stock Market Volatility in
Comparison with some Countries: Application of Asymmetric GARCH
Models. CBN Journal of Applied Statistics, 6, 133-160.
Wagner, N., and Marsh, T. A. (2005). Surprise Volume and Heteroskedasticity in
Equity Market Returns. Quantitative Finance, 5, 153-168.
Wang, K., Li, Y., and Erickson, J. (1997). A New Look at the Monday Effect. Journal
of Finance, 52, 2171-2186.
Yakob, N., Beal, D., and Delpachitra, S. (2005). Seasonality in the Asia Pacific Stock
Markets. Journal of Asset Management, 6, 298-318.
Yang, A. (2016). Calendar Trading of Taiwan Stock Market: A Study of Holidays on
Trading Detachment and Interruptions. Emerging Markets Review, 28, 140-154.
Yuan, T., and Gupta, R. (2014). Chinese Lunar New Year Effect in Asian Stock
Markets, 1999-2012. Quarterly Review of Economics and Finance, 54, 529-537.
Zhang, J., Lai, Y., and Lin, J. (2017). The Day-of-the-Week Effects of Stock Markets
in Different Countries. Finance Research Letters, 20, 47-62.
Asian Stock Markets? Journal of Behavioral and Experimental Finance, 1, 17-26.
Basher, S., and Sadorsky, P. (2006). Day-of-the-Week Effects in Emerging Stock
Markets. Applied Economics Letters, 13, 621-628.
Bialkowski, J., Bohl, M., Kaufmann, P., and Wisniewski, T. (2013). Do Mutual Fund
Managers Exploit the Ramadan Anomaly? Evidence from Turkey. Emerging
Markets Review, 15, 211-232.
Brooks, C., and Persand, G. (2001). Seasonality in Southeast Asian Stock Markets:
Some New Evidence on Day-of-the-Week Effects. Applied Economics Letters, 8,
155-158.
Chen, H., and Chua, A. (2011). The Turn-of-the-Month Anomaly in the Age of
ETFs: A Reexamination of Return-Enhancement Strategies. Journal of Financial
Planning, 24, 62-67.
Chong, R., Hudson, R., Keasey, K., and Littler, K. (2005). Pre-holiday Effects:
International Evidence on the Decline and Reversal of a Stock Market Anomaly.
Journal of International Money and Finance, 24, 1226-1236.
Claessens, S., Dagupta, S., and Glen, J. (1995). Return Behavior in Emerging Stock
Markets. World Bank Economic Review, 9, 131-151.
Darrat, A., Li, B., and Chung, R. (2013). Seasonal Anomalies: A Closer Look at the
Johannesburg Stock Exchange. Contemporary Management Research, 9, 155-168.
Dongcheol, K. (2006). On the Information Uncertainty Risk and the January Effect.
Journal of Business, 79, 2127-2162.
Draper, P., and Paudyal, K. (2002). Explaining Monday Returns. Journal of Financial
Research, 25, 507-520.
Engle, R. F., Lilien, D. M., and Robins, R. P. (1987). Estimating Time varying Risk
Premia in the Term Structure: the ARCH-M Model, Econometrica, 55, 391-407.
Fountas, S., and Segredakis, K. (2002). Emerging Stock Markets Return
Seasonalities: The January effect and the Tax-loss Selling Hypothesis. Applied
Financial Economics, 12, 291-299.
Gama, P. M., and Vieira, E. F. S. (2013). Another Look at the Holiday Effect. Applied
Financial Economics, 23, 1623-1633.
Gao, L., and Kling, G. (2005). Calendar Effects in Chinese Stock Market. Annals of
Economics and Finance, 6, 75-88.
Glosten, L. R., Jagannathan, R., and Runkle, D. E. (1993). On the Relation between
the expected Value and the Volatility of the nominal Excess Return on Stocks.
Journal of Finance, 48, 1779-1801.
Haugen, R., and Jorion, P. (1996). The January Effect: Still there after all these
Years. Financial Analysts Journal, 52, 27-31.
Heininen, P., and Puttonen, V. (2008). Stock Market Efficiency in the Transition
Economies through the Lens of Calendar Anomalies. Working Paper. EACES
10th Bank Indonesia Annual Conference.
Kayacetin, V., and Lekpek, S. (2016). Turn-of-the-Month Effect: New Evidence
from an Emerging Stock Market. Finance Research Letters, 18, 142-157.
Kiymaz, H., and Berument, H. (2003). The Day of the Week Effect on Stock Market
Volatility and Volume: International Evidence. Review of Financial Economics,
12, 363–380.
Keim, D., and Stambaugh, R. (1984). A Further Investigation of the Weekend Effect
in Stock Returns. Journal of Finance, 39, 819-835.
Kinateder, H., Fabich, M., and Wagner, N. (2017). Domestic Mergers and
Acquisitions in BRICS Countries: Acquirers and Targets. Emerging Markets
Review, 32, 190-199.
Lakonishok, J., and Smidt, S. (1988). Are seasonal Anomalies real? A ninety-year
Perspective. Review of Financial Studies, 1, 403-425.
Lucey, B., and Zhao, S. (2008). Halloween or January? Yet Another Puzzle.
International Review of Financial Analysis, 17, 1055-1069.
McGowan, C., and Ibrihim, I. (2009). An Analysis of the Day-of-the-Week Effect in
the Russian Stock Market. International Business and Economics Research Journal,
8, 25-30.
McGuinness, P. (2005). A Re-examination of the Holiday Effect in Stock Returns:
The Case of Hong Kong. Applied Financial Economics, 15, 1107-1123.
Mehdian, S., and Perry, M. (2001). The Reversal of the Monday Effect: New
Evidence from US Equity Markets. Journal of Business Finance and Accounting,
28, 1043-1065.
Meneu, V., and Pardo, A. (2004). Pre-holiday Effect, large Trades and small Investor
Behaviour. Journal of Empirical Finance, 11, 231-246.
Narayan, P. K., Narayan, S., Popp, S., and Ahmed, H. A. (2015). Is the Efficient
Market Hypothesis Day-of-the-Week Dependent? Evidence from the Banking
Sector. Applied Economics, 47, 2359-2378.
Patel, J. (2008). Calendar Effects in the Indian Stock Market. International Business
and Economics Research Journal, 7, 61-70.
Patel, J. (2016). The January Effect Anomaly Reexamined in Stock Returns. Journal
of Applied Business Research, 32, 317-324.
Prajapati, B., Modi, A., and Desai, J. (2013). A Survey of Day of the Month Effect in
World Stock Markets. International Journal of Management, 4, 221-234.
Safeer, M., and Kevin, S. (2014). A Study on Market Anomalies in Indian Stock
Market. International Journal of Business and Administration Research Review, 1,
128-137.
Seif, M., Docherty, P., and Shamsuddin, A. (2017). Seasonality in Stock Returns:
Evidence from advanced Emerging Stock Markets. Quarterly Review of Economics and Finance, 66, 169-181.
Sharma, S. S., and Narayan, P. K. (2012). Firm Heterogeneity and Calendar
Anomalies. Applied Financial Economics, 22, 1931-1949.
Sharma, G., Mittal, S., and Khurana, P. (2014): Month of the Year Anomalies in
Stock Markets: Evidence from India, International Journal of Applied Economics
and Finance 8: 82-97.
Sun, Q., and Tong, W. (2010). Risk and the January Effect. Journal of Banking and
Finance, 34, 965-974.
Tsay, R. (2002). Analysis of Financial Time Series. Financial Econometrics (John
Wiley & Sons, Inc. New York).
Uyaebo, S., Atoi, V., and Usman, F. (2015). Nigeria Stock Market Volatility in
Comparison with some Countries: Application of Asymmetric GARCH
Models. CBN Journal of Applied Statistics, 6, 133-160.
Wagner, N., and Marsh, T. A. (2005). Surprise Volume and Heteroskedasticity in
Equity Market Returns. Quantitative Finance, 5, 153-168.
Wang, K., Li, Y., and Erickson, J. (1997). A New Look at the Monday Effect. Journal
of Finance, 52, 2171-2186.
Yakob, N., Beal, D., and Delpachitra, S. (2005). Seasonality in the Asia Pacific Stock
Markets. Journal of Asset Management, 6, 298-318.
Yang, A. (2016). Calendar Trading of Taiwan Stock Market: A Study of Holidays on
Trading Detachment and Interruptions. Emerging Markets Review, 28, 140-154.
Yuan, T., and Gupta, R. (2014). Chinese Lunar New Year Effect in Asian Stock
Markets, 1999-2012. Quarterly Review of Economics and Finance, 54, 529-537.
Zhang, J., Lai, Y., and Lin, J. (2017). The Day-of-the-Week Effects of Stock Markets
in Different Countries. Finance Research Letters, 20, 47-62.
Published
2019-07-31
How to Cite
Kinateder, H., Weber, K., & Wagner, N. (2019). REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES. Buletin Ekonomi Moneter Dan Perbankan, 22(2), 213 - 236. https://doi.org/10.21098/bemp.v22i2.1092
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