Seasonal Effects on the Bovespa Index

Fajardo, José; Pereira, Rucyan Walace

doi:10.15728/bbr.2008.5.3.5

Cited by 3 publications

(1 citation statement)

References 7 publications

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“…Ajayi et al (2004) investigated the presence of day-of-the-week effect in 11 Eastern European emerging markets (EEEM) and found no consistent evidence of presence of day-of-the-week effect in stock market returns of EEEM. Fajardo and Pereira (2008) found that day-of-the-week effect and holiday effect was not consistently present in Bovespa index during the period of January, 1995-December, 2007 Existing literature on the volatility, efficiency and day-of-the-week effect in stock market focuses mainly on the USA and other advanced economies with little or no attention to the BRIC markets. Enumerating this gap in the literature, this paper conducts an empirical investigation of the impact of future trading on stock market of BRIC countries.…”

Section: Day-of-the-week Effectmentioning

confidence: 99%

Impact of future trading on stock market: a study of BRIC countries

Gahlot¹,

Datta

2012

Studies in Economics and Finance

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Purpose -The purpose of this paper is to examine the impact of the future of trading on volatility as well as the efficiency of the stock market of BRIC (Brazil, Russia, India and China) countries. This study also investigates the presence of day-of-the-week effect in BRIC countries' stock market. Design/methodology/approach -This study uses closing prices of IBrx-50 for Brazil, RTSI for Russia, Nifty for India and CSI300 for China to represent the stock market of BRIC countries. The Run and ACF tests are used to see impact on market efficiency. GARCH M model is used to see the impact on volatility and day-of-the week effect. Findings -The insignificant coefficient of variance in the conditional mean equation of GARCH M implies that the market doesn't provide higher returns during the high volatility period. The results of the Run test showed that the Russian stock market became efficient after introduction of future trading. However, ACF showed no effect of introduction of future trading on autoregressiveness of stock returns. The result of GARCH M indicates that future trading led to reduction in the volatility of the Indian stock market. There are some evidences of presence of day-of-the-week effect in the Indian stock market. Practical implications -This paper will help regulators to form appropriate policies as the market would have to pay a certain price, such as loss of market efficiency, for the sake of market stabilization. This will also help investors to make investment decisions, especially investing in these indices as the existence of the significant day-of-the-week effect and the inefficiency in the stock market would be very useful for developing investment strategies. Originality/value -This paper will be useful for both investors and regulators in decision making.

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Section: Day-of-the-week Effectmentioning

confidence: 99%

Impact of future trading on stock market: a study of BRIC countries

Gahlot¹,

Datta

2012

Studies in Economics and Finance

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Public Holiday and Weekend Anomalies in the Main Latin American Stock Markets

Marques

2014

Latin American Business Review

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This study aims to check and measure possible causality relationships from some calendar events to average daily return anomalies in the main indexes of the six largest Latin American stock markets over the last ten years. Two variables controlling for the time in days elapsed between consecutive trading sessions constitute its main distinctive feature in relation to other similar studies on the same subject. Overall results show a higher significance than those of their corresponding dummies on a regular basis.RESUMEN. Este trabajo tiene como objetivo verificar y medir posibles relaciones causa-efecto entre algunos eventos de calendario y anomalı´as del retorno promedio diario a lo largo de los últimos diez años en los ı´ndices de las bolsas de valores de los seis mercados latinoamericanos más importantes. El estudio se destaca de otros similares publicados hasta la fecha por utilizar dos variables que controlan el intervalo de tiempo transcurrido entre dos sesiones bursa´tiles consecutivas. En general, los resultados muestran con cierta regularidad que estas variables presentan significancia superior que la de sus ''dummies'' tradicionales correspondientes.RESUMO. Este trabalho tem por objetivo investigar e mensurar ocorreˆncias de calenda´rio como possı´veis causas de anomalia nos retornos de ı´ndices de bolsas de valores dos seis mais importantes mercados latino-americanos ao longo dos últimos dez anos. O estudo se distingue dos similares ate´então publicados por conta da adoção de duas variáveis que registram intervalos temporais entre pregões consecutivos. De forma geral, os resultados mostram que estas varia´veis apresentam-se mais significativas do que as ''dummies'' tradicionais correspondentes.

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Return Seasonality in Emerging Markets

Blandón¹

2011

The Impact of the Global Financial Crisis on Emerging Financial Markets

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Seasonal Effects on the Bovespa Index

Cited by 3 publications

References 7 publications

Impact of future trading on stock market: a study of BRIC countries

Impact of future trading on stock market: a study of BRIC countries

Public Holiday and Weekend Anomalies in the Main Latin American Stock Markets

Return Seasonality in Emerging Markets

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