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|Title:||Calendar anomalies in the Russian stock market|
|Keywords:||Calendar effects;Russian stock market;Transaction costs|
|Citation:||Russian Journal of Economics, (2016)|
|Abstract:||This paper investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterise 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 22/09/1997-14/04-2016. 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.|
|Appears in Collections:||Brunel Business School Research Papers|
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