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

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Authors

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

DOI:

https://doi.org/10.15613/hijrh/2017/v4i1/154509

Keywords:

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

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.

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Published

2017-06-01

Issue

Volume 4, Issue 1, January-June 2017

Section

Articles

 

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