ANALYSIS OF MONTHLY RATES OF RETURN IN APRIL ON THE EXAMPLE OF SELECTED WORLD STOCK EXCHANGE INDICES
Krzysztof Borowski ()
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Krzysztof Borowski: Warsaw School of Economics
Equilibrium. Quarterly Journal of Economics and Economic Policy, 2016, vol. 11, issue 2, pages 307-325
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)
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Persistent link: http://EconPapers.repec.org/RePEc:pes:ierequ:v:11:y:2016:i:2:p:307-325
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