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Digest Finance

Assessment of Time Effects in BRICS Markets

Vol. 23, Iss. 3, SEPTEMBER 2018

Received: 7 February 2018

Received in revised form: 5 March 2018

Accepted: 19 March 2018

Available online: 28 September 2018


JEL Classification: G02, G11, G14, G15

Pages: 350-360


Vatrushkin S.V. National Research University Higher School of Economics (NRU HSE), Moscow, Russian Federation


Importance This article considers and discusses the issues related to the determination of temporal effects on the securities markets of the BRICS nations.
Objectives The article aims to identify temporal effects on the stock markets of the BRICS countries, as well as determine the efficiency of these markets, and provide practical recommendations for increasing the yield of the securities portfolio.
Methods For the study, I used the regression and econometric analyses approaches applying the Microsoft Excel and Gretl software.
Results The article presents certain results of identification and evaluation of five temporal effects on the stock markets of the BRICS countries, as well as it determines the efficiency of these markets. Also, it submits practical recommendations to increase the yield of the investment portfolio. The revealed temporal effects testify to the inefficiency of the stock markets and assume the possibility to derive excess return if they are taken into account when building a trade strategy.
Conclusions and Relevance For a number of the indexes considered, temporal effects are typical. This contradicts the efficient-market hypothesis, according to which the financial asset quotes get formed independently, which does not allow to draw an excess yield.

Keywords: stock market, time effect, day-of-the-week effect, month-of-the-year effect, quarter-of-the-year effect


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