Vatrushkin S.V.National Research University – Higher School of Economics, Moscow, Russian Federation VSV001@ya.ru ORCID id: not available
Importance This article considers and discusses the issues related to the determination of the month-of-the-year effect on the securities markets of the BRICS nations. For it is known that temporal effects indicate a stock market's low efficiency. Objectives The article aims to obtain results of a cross-country analysis of the month-of-the-year effect on the stock markets of the BRICS countries and determine the efficiency of the markets under consideration. Methods For the study, I used the regression and econometric analyses approaches applying the Microsoft Excel and Gretl software. Results I examined the stock exchanges of the BRICS countries and determined the stability of the month-of-the-year effect. The latter is defined only for the IBOV, RTS, and TOP40 indexes, which are the major market ones in the Brazilian Stock Exchange (BM&FBOVESPA), Moscow Exchange, and the Johannesburg Stock Exchange Limited, respectively. Based on the findings, I present the estimated degree of information efficiency of each of the analyzed markets. The obtained results may also be used to develop a trading strategy to increase the profitability of multinational investment portfolio. Conclusions and Relevance The article concludes that the month-of-the-year effect is individual concerning only several indexes under consideration. This contradicts the efficient-market hypothesis, according to which the financial asset quotes get formed independently.
Keywords: stock market, index, time effect, month-of-the-year effect
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