Vatrushkin S.V.National Research University – Higher School of Economics, Moscow, Russian Federation VSV001@ya.ru
Subject The study addresses the month-of-the-year effect in the securities markets in BRICS countries. The underlying problem relates to extracting additional profit when building an investment securities portfolio, as it is a priority for each portfolio manager. Objectives The aim is to obtain results of a cross-country analysis of the month-of-the-year effect in the stock markets of BRICS countries and to determine the efficiency of the markets under consideration. Methods The study employs approaches of regression and econometric analysis using the Microsoft Excel and Gretl software. Results I examined the stock exchanges in BRICS countries and determined the sustainability of the month-of-the-year effect. The latter is defined only for IBOV, RTS, TOP40 indexes, which are the main ones in Brazilian Stock Exchange (BM&FBOVESPA), Moscow Exchange and Johannesburg Stock Exchange Limited, respectively. Based on the findings, I will present the estimated degree of information efficiency of each of the analyzed markets. The obtained results may also be used for developing a trading strategy to increase the profitability of multinational investment portfolio. Conclusions It is concluded that for only some of the considered indices is a characteristic effect of month of the year that contradict the efficient market hypothesis according to which prices of financial assets are formed independently.
Keywords: stock market, index, time effect, month-of-the-year effect
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