Calendar Anomalies in the Russian Stock Market: Trends of the Recent Decade

Abstract

Importance The article discusses calendar anomalies (behavioral effects) in the Russian stock market and the so called Day-of-the-week effect and Monday effect. Objectives The research analyzes the Day-of-the-week effect and Monday effect, referring to 2007–2017 data of the Russian stock market and identifies behavioral differences between stock markets in Russia and economically developed countries. Methods The research employs a set of systemic methods, such as structural-logical and factor analysis. I analyze empirical patterns using standard statistical methods. Results Featuring abnormally low profitability on Wednesday, the Day-of-the-week effect also perseveres after the consolidation of trading platforms of the Moscow Exchange (MICEX) and Russian Trading System (RTS). In the mean time, although earlier studies captured the Friday effect, significantly high return has been recorded on Monday for the recent decade. Conclusions and Relevance The Russian stock market resembles those ones of the most developed countries in terms of the Day-of-the-week effect and other behavioral characteristics. However, the domestic stock market is subject to ratchet effects that are observed in ties with other financial centers and economic cycles as a whole. This explains why Friday and Monday effects switch to Monday and Wednesday respectively.