EconPapers    
Economics at your fingertips  
 

ANALYSIS OF MONTHLY RATES OF RETURN IN APRIL ON THE EXAMPLE OF SELECTED WORLD STOCK EXCHANGE INDICES

Krzysztof Borowski ()
Additional contact information
Krzysztof Borowski: Warsaw School of Economics

Equilibrium. Quarterly Journal of Economics and Economic Policy, 2016, vol. 11, issue 2, pages 307-325

Abstract: The article presents a study of the effectiveness of 22 selected stock indices with the use of the rates of return in the month of April. The portfolio replicating the stock index was bought at the closing prices on the last session in March, and sold at the closing prices on the last session in April. The presence of market inefficiency is demonstrated in cases of the following indices: All-Ord, AMEX, BUX, CAC40, DAX, DJIA, DJTA, DJUA, EOE, FTSE100, SMI, SP500, but for the following indices: B-Share, Bovespa, Buenos, Hang-Seng, MEX-IPC, Nasdaq, Nikkei, Russel, TSE and WIG, the obtained monthly rates of return were statistically equal to zero. In the last part of the article, the correlation coefficients of rates of return for analyzed indices in month of April were surveyed.

Keywords: market efficiency; financial market seasonality; market anomalies; April effect. (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.12775/EQUIL.2016.014 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:pes:ierequ:v:11:y:2016:i:2:p:307-325

Access Statistics for this article

Equilibrium. Quarterly Journal of Economics and Economic Policy is currently edited by Adam P. Balcerzak

More articles in Equilibrium. Quarterly Journal of Economics and Economic Policy from Institute of Economic Research Contact information at EDIRC.
Series data maintained by Adam P. Balcerzak ().

 
Page updated 2017-01-21
Handle: RePEc:pes:ierequ:v:11:y:2016:i:2:p:307-325