Time Effects on Stock Market

Student: Stepanova Emiliya

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2019

This paper investigated the existence of calendar anomalies in the Russian stock market. To verify the presence of such anomalies as: Day of the week effect; Weekend effect and January effect, various econometric models were used: OLS regression, GARCH, TGARCH and EGARCH. The results show that calendar anomalies still exist on the Russian Stock Exchange. The Day of the week effect is partially recognized: for the RTS index, returns on Thursday are, on average, higher than during the rest of the week, and for the MICEX index this day was Monday. The study did not found the evidence of existence of January effect and Weekend effect.

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