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.
Kinateder, Harald; Weber, Kimberly; and Wagner, Niklas
"REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES,"
Bulletin of Monetary Economics and Banking: Vol. 22:
2, Article 2.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol22/iss2/2