Calendar Anomalies in the Bond Market

Student: Kurlovich Alexandra

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2020

This paper is devoted to the study of calendar anomalies, such as the" day of the week effect"," beginning-end of the month effect"," first quarter effect"," half-year effect"," year-end effect "and" January effect " in the Russian bond market. The analysis used the yields of the 48 most liquid corporate Russian bonds and the Moscow Exchange index for corporate bonds. Historical data is taken for the time period from 2014 to 2020. The GARCH (1,1) model was used for time series analysis. The results of the study revealed anomalies of the day of the week, the end of the year, and the half-year. This result was expected, since the Russian bond market is an emerging market, which means that the hypothesis of an efficient market is most likely not fulfilled.

Full text (added May 14, 2020)

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