+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»

JOURNALS

  

FOR AUTHORS

  

SUBSCRIBE

    
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 (NRU HSE), Moscow, Russian Federation
VSV001@ya.ru

https://orcid.org/0000-0003-1993-2839

Importance This article considers and discusses the issues related to the determination of temporal effects on the securities markets of the BRICS nations.
Objectives The article aims to identify temporal effects on the stock markets of the BRICS countries, as well as determine the efficiency of these markets, and provide practical recommendations for increasing the yield of the securities portfolio.
Methods For the study, I used the regression and econometric analyses approaches applying the Microsoft Excel and Gretl software.
Results The article presents certain results of identification and evaluation of five temporal effects on the stock markets of the BRICS countries, as well as it determines the efficiency of these markets. Also, it submits practical recommendations to increase the yield of the investment portfolio. The revealed temporal effects testify to the inefficiency of the stock markets and assume the possibility to derive excess return if they are taken into account when building a trade strategy.
Conclusions and Relevance For a number of the indexes considered, temporal effects are typical. This contradicts the efficient-market hypothesis, according to which the financial asset quotes get formed independently, which does not allow to draw an excess yield.

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

References:

  1. Fama E.F. The Behavior of Stock-Market Prices. The Journal of Business, 1965, vol. 38, iss. 1, pp. 34–105. URL: Link
  2. Davis M.H.A. Louis Bachelier's “Theory of Speculation”. URL: Link
  3. French K.R. Stock Returns and the Weekend Effect. Journal of Financial Economics, 1980, vol. 8, iss. 1, pp. 55–69. URL: Link90021-5
  4. Rogalski R.J. New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note. The Journal of Finance, 1984, vol. 39, iss. 5, pp. 1603–1614. URL: Link
  5. Harris L. A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns. Journal of Financial Economics, 1986, vol. 16, iss. 1, pp. 99–117. URL: Link90044-9
  6. Ariel R.A. A Monthly Effect in Stock Returns. Journal of Financial Economics, 1987, vol. 18, iss. 1, pp. 161–174. URL: Link90066-3
  7. Lakonishok J., Smidt S. Are Seasonal Anomalies Real? A Ninety Years Perspective. Review of Financial Studies, 1988, vol. 1, iss. 4, pp. 403–425.
  8. Pettengill G.N., Jordan B.D. A Comprehensive Examination of Volume Effects and Seasonality in Daily Security Return. The Journal of Financial Research, 1988, vol. 11, iss. 1, pp. 57–70. URL: Link
  9. Liano K., Lindley J.T. An Analysis of the Weekend Effect within the Monthly Effect. Review of Quantitative Finance and Accounting, 1995, vol. 5, iss. 4, pp. 419–426.
  10. Keef S.P., Roush M.L. Day-of-the-Week Effects in the Pre-holiday Returns of the Standard and Poor's 500 Stock Index. Applied Financial Economics, 2005, vol. 15, iss. 2, pp. 107–119. URL: Link
  11. Jaffe J., Westerfield R. The Week-End Effect in Common Stock Returns: The International Evidence. The Journal of Finance, 1985, vol. 40, iss. 2, pp. 433–454. URL: Link
  12. Aggarwal R., Rivoli P. Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets. The Financial Review, 1989, vol. 24, iss. 4, pp. 541–550.
  13. Marrett G.E., Worthington A. The Day-of-the-Week Effect in the Australian Stock Market: An Empirical Note on the Market, Industry and Small Cap Impacts. International Journal of Business and Management, 2008, vol. 3, iss. 1, pp. 3–8. URL: Link
  14. Mbululu D., Chipeta C. Day of the Week Effect: Evidence from Nine Economic Sectors of JSE. Investment Analysis Journal, 2012, vol. 41, iss. 75, pp. 55–65.
  15. Kurashinov M. [“Wednesday effect”, or The national trait of the Russian securities market]. Rynok tsennykh bumag = Securities Market, 2004, no. 24, pp. 13–15. (In Russ.) URL: Link
  16. McGowan C.B. Jr., Ibrihim I. An Analysis of the Day-of-the-Week Effect in the Russian Stock Market. International Business & Economics Research, 2009, vol. 8, iss. 9, pp. 25–30. URL: Link
  17. Singleton J.C., Wingender J.R. The Nonparallel Weekend Effect in the Stock and Bond Markets. The Journal of Financial Research, 1994, vol. 17, iss. 4, pp. 531–538. URL: Link
  18. Thatcher J.S., Blenman L.P. Synthetic Trades and Calendar Day Patterns: The Case of the Dollar/Sterling Markets. The Financial Review, 2001, May, vol. 36, iss. 2, pp. 177–200. Available at SSRN: Link
  19. Liano K., Huang G.-C., Gup B.E. A Twist on the Monday Effect in Stock Returns: A Note. Journal of Economics and Business, 1993, vol. 45, iss. 1, pp. 61–67. URL: Link90006-A
  20. Johnston E.T., Kracaw W.A., McConnell J.J. Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts. The Journal of Financial and Quantitative Analysis, 1991, vol. 26, iss. 1, pp. 23–44. URL: Link
  21. Redman A.L., Manakyan H., Liano K. Real Estate Investment Trusts and Calendar Anomalies. Journal of Real Estate Research, 1997, vol. 14, iss. 1/2, pp. 19–28. URL: Link
  22. Sias R.W., Starks L.T. The Day-of-the-Week Anomaly: The Role of Institutional Investors. Financial Analysts Journal, 1995, vol. 51, iss. 3, pp. 58–67. Stable URL: Link
  23. Abraham A., Ikenberry D.L. The Individual Investor and the Weekend Effect. The Journal of Financial and Quantitative Analysis, 1994, vol. 29, iss. 2, pp. 263–277. URL: Link
  24. Damodaran A. The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements. The Review of Financial Studies, 1989, vol. 2, iss. 4, pp. 607–623. URL: Link
  25. Pettengill G.N., Wingender J.R. Jr., Kohli R. Arbitrage, Institutional Investors, and the Monday Effect. Quarterly Journal of Business and Economics, 2003, vol. 42, iss. 3/4, pp. 49–63. URL: Link
  26. Pettengill G.N. An Experimental Study of the 'Blue Monday' Hypothesis. The Journal of Socio-Economics, 1993, vol. 22, iss. 3, pp. 241–257. URL: Link90011-9
  27. Chow E.H., Hsiao P., Solt M.E. Trading Returns for the Weekend Effect Using Intraday Data. Journal of Business Finance and Accounting, 1997, vol. 24, iss. 3, pp. 425–444.
  28. Miller E.M., Prather L.J., Mazumder M.I. Day-of-the-Week Effects Among Mutual Funds. Quarterly Journal of Business and Economics, 2003, vol. 42, iss. 3/4, pp. 113–128. Stable URL: Link
  29. Fedorova E.A., Gilenko E.V. [Comparative analysis of the approaches to estimation of calendar effects in a financial market]. Audit i finansovyi analiz = Audit and Financial Analysis, 2008, no. 5, pp. 184–189. URL: Link (In Russ.)

View all articles of issue

 

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 3
March 2024

Archive