Digest Finance

Evaluation of the Month-of-the-Year Effect on the Securities Markets of the BRICS Nations

Vol. 23, Iss. 2, JUNE 2018

PDF  Article PDF Version

Received: 5 July 2017

Received in revised form: 24 September 2017

Received in final form: 10 October 2018

Accepted: 14 November 2017

Available online: 30 June 2018


JEL Classification: G02, G11, G14, G15

Pages: 172–181


Vatrushkin S.V. National Research University – Higher School of Economics, Moscow, Russian Federation

ORCID id: not available

Importance This article considers and discusses the issues related to the determination of the month-of-the-year effect on the securities markets of the BRICS nations. For it is known that temporal effects indicate a stock market's low efficiency.
Objectives The article aims to obtain results of a cross-country analysis of the month-of-the-year effect on the stock markets of the BRICS countries and determine the efficiency of the markets under consideration.
Methods For the study, I used the regression and econometric analyses approaches applying the Microsoft Excel and Gretl software.
Results I examined the stock exchanges of the BRICS countries and determined the stability of the month-of-the-year effect. The latter is defined only for the IBOV, RTS, and TOP40 indexes, which are the major market ones in the Brazilian Stock Exchange (BM&FBOVESPA), Moscow Exchange, and the Johannesburg Stock Exchange Limited, respectively. Based on the findings, I present the estimated degree of information efficiency of each of the analyzed markets. The obtained results may also be used to develop a trading strategy to increase the profitability of multinational investment portfolio.
Conclusions and Relevance The article concludes that the month-of-the-year effect is individual concerning only several indexes under consideration. This contradicts the efficient-market hypothesis, according to which the financial asset quotes get formed independently.

Keywords: stock market, index, time effect, month-of-the-year effect


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