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http://bura.brunel.ac.uk/handle/2438/13864Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Zakirova, V | - |
| dc.date.accessioned | 2017-01-16T13:50:46Z | - |
| dc.date.available | 2017-01-16T13:50:46Z | - |
| dc.date.issued | 2017-02-28 | - |
| dc.identifier.citation | Caporale, G.M. and Zakirova, V. (2017) 'Calendar anomalies in the Russian stock market', Russian Journal of Economics, 3 (1), pp. 101 - 108. doi: 10.1016/j.ruje.2017.02.007. | en_US |
| dc.identifier.issn | 2618-7213 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/13864 | - |
| dc.description | JEL classification: G12; C22. | - |
| dc.description.abstract | This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency. Specifically, OLS, GARCH, EGARCH and TGARCH models are estimated using daily data for the MICEX market index over the period Sept. 1997–Apr. 2016. The empirical results show the importance of taking into account transactions costs (proxied by the bid-ask spreads): once these are incorporated into the analysis, calendar anomalies disappear, and therefore, there is no evidence of exploitable profit opportunities based on them that would be inconsistent with market efficiency. | en_US |
| dc.format.extent | 101 - 108 | - |
| dc.format.medium | Print-Electronic | - |
| dc.language.iso | en | en_US |
| dc.publisher | Non-profit partnership “Voprosy Ekonomiki”, hosting by Elsevier | - |
| dc.rights | Copyright © 2017 Non-profit partnership “Voprosy Ekonomiki”. This is an open access article distributed under the terms of the Creative Commons Attribution License (CC BY-NC-ND 4.0), which permits to copy and distribute the article for non-commercial purposes, provided that the article is not altered or modified and the original author and source are credited. | - |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
| dc.subject | calendar effects | en_US |
| dc.subject | Russian stock market | en_US |
| dc.subject | transaction costs | en_US |
| dc.title | Calendar anomalies in the Russian stock market | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.1016/j.ruje.2017.02.007 | - |
| dc.relation.isPartOf | Russian Journal of Economics | - |
| pubs.issue | 1 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 3 | - |
| dc.identifier.eissn | 2405-4739 | - |
| dc.rights.license | https://creativecommons.org/licenses/by-nc-nd/4.0/legalcode.en | - |
| dc.rights.holder | “Voprosy Ekonomiki” | - |
| dc.rights.holder | Non-profit partnership “Voprosy Ekonomiki” | - |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2017 Non-profit partnership “Voprosy Ekonomiki”. This is an open access article distributed under the terms of the Creative Commons Attribution License (CC BY-NC-ND 4.0), which permits to copy and distribute the article for non-commercial purposes, provided that the article is not altered or modified and the original author and source are credited. | 742.99 kB | Adobe PDF | View/Open |
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