HuSS: International Journal of Research in Humanities and Social Sciences

Open Access Open Access  Restricted Access Subscription Access

Calendar Anomalies:Before and After the Global Financial Crisis in Emerging BRIC Stock Markets


Affiliations
1 Department of Humanities, PSG College of Technologies, Coimbatore, Tamil Nadu, India
2 Electrical Engineering and Information Technology, OVGU Magdeburg, Germany
 

The legal and operational changes in the capital market operation of BRIC nations and availability of information at low cost and some time with no cost influenced the efficiency of capital market in the recent past. In order to identify the calendar anomalies, the present study examine the day of the week effect in the developing stock market of BRIC. The study period has been classified into three sub-periods as pre-financial crisis period (i.e., 1st January 2000 to 31st December 2007), during the financial crisis (1st January 2008 to 31st December 2009) and post financial crisis period (1st January 2010 to 31st December 2016). The dummy variable regression result evidenced that after the financial crisis period BRIC capital markets reached the efficient stage where day of the week trading rules lose the ground to earn the abnormal return. This can be attributed to recent changes in the capital market regulations and strict vigilance of the stock market watch dogs in these countries.

Keywords

Calendar Anomalies, Day-of-the-Week Effect, Dummy Variable Regression, BRIC.
User
Notifications
Font Size

  • French. Stock returns and the weekend effect. Journal of Financial Economics.1980; 8(1):55–69. https://doi.org/10.1016/0304-405X(80)90021-5

  • Gibbson, Hess. Day of the week effects and asset returns. Journal of Business.1981; 54(4):579–98. https://doi.org/10.1086/296147

  • Berument, Kiymaz. The day of the week effect on stock market volatility. Journal of Economics and Finance. 2001; 25(2):181–93. https://doi.org/10.1007/BF02744521

  • Heininen, Puttonen. Stock market efficiency in the transition economies through lence of calendar anamolies. Available from: from http://www.hse.ru/data/090/182/1235/Heininen_Puttonen_ paper.pdf

  • Khanna V, Mittal A. Does day-of-the-week anomaly influence BRICS stock markets? A Unit Root Testing Approach. Journal of Business. 2016; 5(1):9–17.

  • Aziz T. Day of the week effect: Evidence from India. Afro-Asian Journal of Finance and Accounting. 2013; 5(2):99–112. https://doi.org/10.1504/AAJFA.2015.069886

  • Carluccl F. The week day effect anomaly in the behaviour of stock index returns of Brazil, Mexico and the U.S.A. Business and Management Review. 2014; 3(9):31–8.

  • Sing S. Stock market anomalies: Evidence from emerging BRIC Market. Vision, Journal of Business Perspective. 2014; 18(1):23–8. https://doi.org/10.1177/0972262913517329

  • Srinivasan P, Kalaivani M. DOW effects in the Indian Stock Market. International Journal of Economics and Management. 2014; 8(1):158–77.

  • Haug M, Hirschey M. The January effect. Financial Analysts Journal. 2006; 62(5):78–88. https://doi.org/10.2469/faj.v62.n5.4284

  • Elena V, Dragos O. Seasonality in the Romanian stock market: The-day-of-the-week effect. Procedia Economics and Finance. 2014; 15:704–10. https://doi.org/10.1016/S2212-5671(14)00543-7

  • Sarma, S. Stock market seasonality in emerging market. Vikalpa. 2004; 29(3):35–41. https://doi.org/10.1177/0256090920040303

  • Brooks, Persand. Seasonality in Southeast Asian stock markets: Some new evidence on day- of-the-week effects. Applied Economics Letters. 2001; 8(3):155–8. https://doi.org/10.1080/13504850150504504


Abstract Views: 400

PDF Views: 335




  • Calendar Anomalies:Before and After the Global Financial Crisis in Emerging BRIC Stock Markets

Abstract Views: 400  |  PDF Views: 335

Authors

S. Muruganandan
Department of Humanities, PSG College of Technologies, Coimbatore, Tamil Nadu, India
V. Santhi
Department of Humanities, PSG College of Technologies, Coimbatore, Tamil Nadu, India
Arunkumar Jayaraman
Electrical Engineering and Information Technology, OVGU Magdeburg, Germany

Abstract


The legal and operational changes in the capital market operation of BRIC nations and availability of information at low cost and some time with no cost influenced the efficiency of capital market in the recent past. In order to identify the calendar anomalies, the present study examine the day of the week effect in the developing stock market of BRIC. The study period has been classified into three sub-periods as pre-financial crisis period (i.e., 1st January 2000 to 31st December 2007), during the financial crisis (1st January 2008 to 31st December 2009) and post financial crisis period (1st January 2010 to 31st December 2016). The dummy variable regression result evidenced that after the financial crisis period BRIC capital markets reached the efficient stage where day of the week trading rules lose the ground to earn the abnormal return. This can be attributed to recent changes in the capital market regulations and strict vigilance of the stock market watch dogs in these countries.

Keywords


Calendar Anomalies, Day-of-the-Week Effect, Dummy Variable Regression, BRIC.

References





DOI: https://doi.org/10.15613/hijrh%2F2017%2Fv4i1%2F154509