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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.
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Abstract Views: 509

PDF Views: 390




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

Abstract Views: 509  |  PDF Views: 390

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