+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»

JOURNALS

  

FOR AUTHORS

  

SUBSCRIBE

    
Digest Finance
 

Calendar Anomalies in the Russian Stock Market: Trends of the Recent Decade

Vol. 23, Iss. 2, JUNE 2018

Received: 7 February 2018

Received in revised form: 21 February 2018

Accepted: 7 March 2018

Available online: 30 June 2018

Subject Heading: SECURITIES AND FINANCIAL MARKETS

JEL Classification: G10, G14

Pages: 182–190

https://doi.org/10.24891/df.23.2.182

Val'ko D.V. South Ural Institute of Management and Economics, Chelyabinsk, Russian Federation
valkodv@inueco.ru

https://orcid.org/0000-0002-8058-7539

Importance The article discusses calendar anomalies (behavioral effects) in the Russian stock market and the so called Day-of-the-week effect and Monday effect.
Objectives The research analyzes the Day-of-the-week effect and Monday effect, referring to 2007–2017 data of the Russian stock market and identifies behavioral differences between stock markets in Russia and economically developed countries.
Methods The research employs a set of systemic methods, such as structural-logical and factor analysis. I analyze empirical patterns using standard statistical methods.
Results Featuring abnormally low profitability on Wednesday, the Day-of-the-week effect also perseveres after the consolidation of trading platforms of the Moscow Exchange (MICEX) and Russian Trading System (RTS). In the mean time, although earlier studies captured the Friday effect, significantly high return has been recorded on Monday for the recent decade.
Conclusions and Relevance The Russian stock market resembles those ones of the most developed countries in terms of the Day-of-the-week effect and other behavioral characteristics. However, the domestic stock market is subject to ratchet effects that are observed in ties with other financial centers and economic cycles as a whole. This explains why Friday and Monday effects switch to Monday and Wednesday respectively.

Keywords: securities market, stock market, stock exchange, behavioral finance, Monday effect

References:

  1. Simon H. Administrative Behavior: A Study of Decision Making Processes in Administrative Organization. New York, Free Press, 1976, 400 p.
  2. Harsanyi J.C., Selten R. A General Theory of Equilibrium Selection in Games. Cambridge, MA, MIT-Press, 1988, 378 p.
  3. Tversky A., Kahneman D. Judgment under Uncertainty: Heuristics and Biases. Science, 1974, vol. 185, no. 4157, pp. 1124–1131.
  4. Kantolinskii M.I. [Stock market anomalies: Definition and classification]. Vestnik Finansovoi akademii, 2010, no. 2, pp. 25–28. (In Russ.)
  5. Fields M.J. Stock Prices: A Problem in Verification. Journal of Business, 1931, vol. 4, p. 415. URL: Link
  6. Cross F. The Behavior of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 1973, vol. 29, no. 6, pp. 67–69.
  7. French K. Stock Returns and the Weekend Effect. Journal of Financial Economics, 1980, vol. 8, iss. 1, pp. 55–69.
  8. Lakonishok J., Smidt S. Are Seasonal Anomalies Real? A Ninety Year Perspective. Review of Financial Studies, 1988, vol. 1, no. 4, pp. 403–425.
  9. Kamara A. New Evidence on the Monday Seasonal in Stock Returns. The Journal of Business, 1997, vol. 70, no. 1, pp. 63–84.
  10. Agrawal A., Tandon K. Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries. Journal of International Money and Finance, 1994, vol. 13, iss. 1, pp. 83–106.
  11. Jaffe J.F., Westerfield R., Ma C. A Twist on the Monday Effect in Stock Prices: Evidence from the U.S. and Foreign Stock Markets. Journal of Banking & Finance, 1989, vol. 13, iss. 4-5, pp. 641–650.
  12. Steeley J.M. A Note on Information Seasonality and the Disappearance of the Weekend Effect in the UK Stock Market. Journal of Banking and Finance, 2001, vol. 25, iss. 10, pp. 1941–1956. URL: Link00167-9
  13. Mehdian S., Perry M.J. The Reversal of the Monday Effect: New Evidence from US Equity Markets. Journal of Business Finance & Accounting, 2001, vol. 28, iss. 7-8, pp. 1043–1065.
  14. Wang K., Li Y., Erickson J. A New Look at the Monday Effect. The Journal of Finance, 1997, vol. 52, no. 5, pp. 2171–2186.
  15. Kurashinov M. [The environmental effect, or the national trait of the Russian securities market]. Rynok tsennykh bumag = Securities Market, 2004, no. 20, pp. 13–15. (In Russ.)
  16. Nekrasova I.V. [The Hurst index as a measure for the fractal structure and long-term memory of financial markets]. Mezhdunarodnyi nauchno-issledovatel'skii zhurnal = International Research Journal, 2015, no. 7-3, pp. 87–91. (In Russ.)
  17. Mandelbrot B.B., Van Ness J.W. Fractional Brownian Motion, Fractional Noises and Applications. SIAM Review, 1968, vol. 10, no. 4, pp. 422–437. URL: Link
  18. Hurst H.E. Long-term Storage of Reservoirs: An Experimental Study. Transactions of the American Society of Civil Engineers, 1951, vol. 116, iss. 1, pp. 770–799.

View all articles of issue

 

ISSN 2311-9438 (Online)
ISSN 2073-8005 (Print)

Journal current issue

Vol. 29, Iss. 3
September 2024

Archive