Finance and Credit
 

Calendar anomalies in the Russian stock market: Trends of the recent decade

Vol. 24, Iss. 3, MARCH 2018

Received: 7 February 2018

Received in revised form: 21 February 2018

Accepted: 7 March 2018

Available online: 29 March 2018

Subject Heading: Securities market

JEL Classification: G10, G14

Pages: 550562

https://doi.org/10.24891/fc.24.3.550

Val'ko D.V. South Ural Institute of Management and Economics, Chelyabinsk, Russian Federation
valkodv@inueco.ru

https://orcid.org/0000-0002-8058-7539

Subject The article addresses calendar anomalies (behavioral effects) on the Russian stock market and, in particular, the so-called day-of-the-week effect and Monday effect.
Objectives The aim of this work is to analyze the development of the day-of-the-week effect and Monday effect on the data of the Russian stock market for 20072017, and identify on this basis the behavioral differences between the stock markets in Russia and economically developed countries.
Methods The study rests on a set of system methods, like the structural-logical and factor analysis. I analyze empirical regularities using the standard statistical methods.
Results The day-of-the-week effect, consisting of abnormally low profitability on Wednesday, also continues after the consolidation of trading platforms of MICEX and RTS. At the same time, if in early studies the Friday effect was observed, a significantly high yield has been maintained on Mondays during the recent ten years.
Conclusions The Russian stock market is similar to the markets of the most developed countries based on the day-of-the-week effect and other behavioral characteristics. However, the domestic stock market is subject to ratchet effects that accompany both the connection with the markets of other financial centers and the cycles in the economy as a whole. This, in our opinion, explains, among other things, the revealed shift in the effects specific to Friday and Monday, to Monday and Wednesday, respectively.

Keywords: securities market, stock market, stock exchange, behavioral finance, Monday Effect

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