金砖国家日历异常现象再探

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2019-07-31 DOI:10.21098/bemp.v22i2.1092

Harald Kinateder, K. Weber, N. Wagner

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引用次数: 12

摘要

我们使用GARCH伪方法分析了1996年至2018年期间日历异常对金砖国家股市条件日收益和风险的影响。调查了一年中的月份（MOY）、月初（TOM）、星期几（DOW）和节假日的影响。最引人注目的道琼斯指数效应出现在周二。TOM效应得到了验证，而有趣的是，我们没有发现一月效应的证据。一般节日效应没有记录在案，但印度市场显示出显著的节前和节后效应，中国市场在公共假期前异常，南非市场仅在假期后受到影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES

We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays. The TOM effect is validated, while we interestingly find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and a post-holiday effect, the Chinese market is anomalous before public holidays and the South African market is affected after holidays only.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks