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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Anna Marchenkova
Calendar Anomalies in Stock Markets
Economics and Statistics
(Bachelor’s programme)
2017
Conventional theory assumes that the same return process operates over all trading and non-trading periods. The presence of calendar anomalies contradicts this theory. This investigation evaluates the impact of the calendar effects on the share returns of the BRICS and the G7countries’ indices during the period 1998-2017. Two of the most prominent calendar related anomalies are Monday effect and January effect. A regression-based approach with dummy variables is employed alongside different modifications of GARCH-models.

The chosen topic is relevant due to the following reasons: from a practical point of view, the presence of stock market anomalies can optimize the process of formation of an investment portfolio and help investors get additional profit. From a scientific point of view, the adoption of null hypothesis which resists the existence of calendar anomalies represents a serious contradiction between the real phenomena and the hypothetical model, which serves as the foundation for the whole finance science.

This work was written to fill in the gap in the existing scientific literature. Firstly, the vast majority of works written about the calendar anomalies are concentrated on the situation in developed countries. This research aims to study time effects on the international presence – not only in developed but also in emerging stock markets.

Secondly, researchers often focus on one anomaly. In this study the two most significant anomalies are considered at the same time.

Thirdly, it is used the data for the period from 1998 to 2017, which includes the largest financial crisis of the last decade. This time period is chosen justified: this is a relatively new period, which have not been observed in the existing literature yet; it is possible in terms of necessary volume of data to analyze the impact of the crisis 2008 on the deep-seated anomalies by splitting the entire period into two almost equal number of observations of sub-periods.

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