Stock Market Anomalies: Evidence from Emerging BRIC Markets

Satinder Pal Singh

Vision, 2014, vol. 18, issue 1, 23-28

Abstract: The study investigates and identifies the presence of stock market anomalies for four emerging stock markets of Brazil, Russia, India and China (BRIC) for the period 1 January 2003–15 June 2013. The article uses dummy regression model to examine the existence of ‘Day of the Week’ (DOW) and Month of the Year (MOY) effects of stock market returns of BRIC countries. The study supports the efficient market hypothesis in DOW and MOY form for Brazil, Russia and India. However, it demonstrates statistically significant negative return on Tuesday for Chinese stock market, although no anomaly is found in MOY form. This indicates that an investor may leverage the knowledge of such abnormal returns to enter the stock market a day earlier and make profits. At the same time the findings may also be used by the regulatory agencies of China to investigate why these patterns exist and take necessary actions to allow efficient functioning of the market. The study challenges some of the previous studies of DOW and MOY anomalies for India and Russia.

Keywords: Stock Market Returns; Dummy Variable Regression; Day of the Week Effect; Month of the Year Effect; Emerging Markets (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972262913517329 (text/html)

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: https://EconPapers.repec.org/RePEc:sae:vision:v:18:y:2014:i:1:p:23-28

DOI: 10.1177/0972262913517329

Access Statistics for this article

More articles in Vision
Bibliographic data for series maintained by SAGE Publications ().