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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Nikita Trikoz
Calendar Effects on the Russian Stock Market
Economics
(Bachelor’s programme)
7
2017
The main objective of this work is a verification of the economic and statistical significance of the calendar anomalies on the Russian stock market. The effects of January and the day of the week were chosen as the central calendar effects. According to the results of the study, Russian stock market is experiencing the effects of Monday and the end of a week between 2006 and 2016, however no statistically significant effect of January was found on a monthly data. Nevertheless, the study of the monthly data has allowed to reveal the calendar effects for the period of April-July, which can be explained by the decline in a business activity on the market in this period. The presence of the above-mentioned effects indicates the existence of inefficiencies on the market, which tells us that the weak hypothesis of market efficiency has not been fulfilled, and consequently, the incorrect use of existing pricing models without their adjustment.

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