Efficiency of Investment Strategies Based on Calendar Effects at the BRICS Stock Markets

Student: Lopatko Alexey

Supervisor: Pavel Malyshev

Educational Programme: Economics and Statistics (Bachelor)

Year of Graduation: 2020

The study examines calendar anomalies in equity markets of BRICS countries. Purpose of the study is to analyze calendar anomalies and evaluate profitability of the investment strategies while using these anomalies. Data contains returns of indices of the countries from 2004 to 2019. In our work we will use modified regression models to indicate calendar effects. One of the models is based on dammy variables, another one is GARCH model. We expect to find calendar anomalies and differences between our results and results of researches made in the past.

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