Calendar Anomalies in the Russian Stock Market

Student: Gafarov Munkhadzh

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

In this paper calendar anomalies, such as day-of-the-week effect, month-of-the-year effect turn-of-the-month effect and Halloween in the Russian stock market are explored. As known, market anomalies and other imperfections affect effectivity of the whole stock market. GARCH models are estimated using daily data for the MOEX index for the last 20 years, sectoral indices for 10 years and indices of small and big capitalization companies for 7 years. Results show that there are market anomalies in the Russian stock market, that makes it imperfect.

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