Finance and Credit
 

Assessment of time effects in BRICS markets

Vol. 24, Iss. 4, APRIL 2018

Received: 7 February 2018

Received in revised form: 5 March 2018

Accepted: 19 March 2018

Available online: 28 April 2018

Subject Heading: INVESTING

JEL Classification: G02, G11, G14, G15

Pages: 913—928

https://doi.org/10.24891/fc.24.4.913

Vatrushkin S.V. National Research University – Higher School of Economics, Moscow, Russian Federation
VSV001@ya.ru

ORCID id: 0000-0003-1993-2839

Importance This article examines the issues related to the definition of temporary effects in the securities markets of the BRICS countries.
Objectives The article aims to identify temporary effects on the stock markets of BRICS countries, as well as determine the effectiveness of these markets, and provide practical recommendations for increasing the yield of the securities portfolio.
Methods For the study, I used the methods of regression and econometric analyses applying Microsoft Excel and Gretl software.
Results The article presents the results of identification and evaluation of five time effects on the stock markets of BRICS countries, as well as determines the efficiency of these markets and gives practical recommendations to increase the yield of the investment portfolio. The revealed temporary effects testify in favor of the inefficiency of the stock markets and assume the possibility to extract additional profit if they are taken into account when building a trade strategy.
Conclusions For a number of the indices considered, temporary effects are typical, which is contrary to the hypothesis of an effective market, according to which the quotations of financial assets get formed in an independent manner, which does not allow to draw an excess profit.

Keywords: stock market, time effects, day-of-the-week effect, month effect, quarter-of-the-year effect

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