 Volatility and calendar anomaly through GARCH model: evidence from the selected G20 stock exchangesShraddha Mishra International Journal of Business and Globalisation, 2017, vol. 19, issue 1, 126-144 Abstract: The recurring nature of the stock market suggested that past behaviour would tend to re-emerge in future. As to predict the future, it is fruitful to comprehend the patterns. Calendar anomalies are much reflected on these assumptions. Thus, we attempt to capture the day of the week pattern of market returns and volatility. The study considers 20 different economies from the G20 countries, spans over the period of five years (after recession) spread from January 2009 to December 2014. We find that some calendar anomalies are persistent in the stock return pattern for all the selected economies. The day of the week effect shows positive results majorly for emerging stock markets. As far as volatility is concerned, a few markets reveal that volatility is highly increased after a negative return. In the scenario, it is advised that investors may require being more cognisant about the negative news than the positive news in the market. Keywords: stock market volatility; calendar anomaly; time series analysis; G20 nations; market returns; institutional environment; global financial crisis; GARCH model. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbglo:v:19:y:2017:i:1:p:126-144 Access Statistics for this article More articles in International Journal of Business and Globalisation from Inderscience Enterprises Ltd |
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