Fatma Wyème Ben Mrad Douagi, Olfa Chaouachi, Sow Mory
{"title":"季节异常:来自象牙海岸证券区域证券交易所的经验证据","authors":"Fatma Wyème Ben Mrad Douagi, Olfa Chaouachi, Sow Mory","doi":"10.18488/journal.1007/2019.9.2/1007.2.38.45","DOIUrl":null,"url":null,"abstract":"This paper tries to examine the efficiency of the Regional Stock Exchange in Ivory Coast Securities (BRVM), by testing two seasonal anomalies: the day of the week effect and the month of the year effect. Applying the GARCH models, we found evidence of day of the week and month of the year effects between January 2002 and December 2016. These seasonal anomalies challenge the efficiency of the market hypothesis, proposed by Fama (1970).","PeriodicalId":426560,"journal":{"name":"Asian Journal of Empirical Research","volume":"265 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Seasonal Anomalies: Empirical Evidence from Regional Stock Exchange Ivory Coast Securities\",\"authors\":\"Fatma Wyème Ben Mrad Douagi, Olfa Chaouachi, Sow Mory\",\"doi\":\"10.18488/journal.1007/2019.9.2/1007.2.38.45\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper tries to examine the efficiency of the Regional Stock Exchange in Ivory Coast Securities (BRVM), by testing two seasonal anomalies: the day of the week effect and the month of the year effect. Applying the GARCH models, we found evidence of day of the week and month of the year effects between January 2002 and December 2016. These seasonal anomalies challenge the efficiency of the market hypothesis, proposed by Fama (1970).\",\"PeriodicalId\":426560,\"journal\":{\"name\":\"Asian Journal of Empirical Research\",\"volume\":\"265 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-05-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asian Journal of Empirical Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.18488/journal.1007/2019.9.2/1007.2.38.45\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Journal of Empirical Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18488/journal.1007/2019.9.2/1007.2.38.45","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper tries to examine the efficiency of the Regional Stock Exchange in Ivory Coast Securities (BRVM), by testing two seasonal anomalies: the day of the week effect and the month of the year effect. Applying the GARCH models, we found evidence of day of the week and month of the year effects between January 2002 and December 2016. These seasonal anomalies challenge the efficiency of the market hypothesis, proposed by Fama (1970).
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
