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Bulletin of Monetary Economics and Banking

Document Type

Article

Abstract

We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays. The TOM effect is validated, while we interestingly find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and a post-holiday effect, the Chinese market is anomalous before public holidays and the South African market is affected after holidays only.

First Page

213

Last Page

236

Creative Commons License

Creative Commons Attribution-NonCommercial 4.0 International License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Germany

Affiliation

University of Passau

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