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Assessment of Time Effects in BRICS Markets

Vatrushkin S.V. National Research University Higher School of Economics (NRU HSE), Moscow, Russian Federation ( VSV001@ya.ru )

Journal: Digest Finance, #3, 2018

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.


Assessment of Time Effects in BRICS Markets

Vatrushkin S.V. National Research University Higher School of Economics (NRU HSE), Moscow, Russian Federation ( VSV001@ya.ru )

Journal: Finance and Credit, #4, 2018

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.


Evaluation of the month-of-the-year effect in the securities markets in BRICS countries

Vatrushkin S.V. National Research University – Higher School of Economics, Moscow, Russian Federation ( VSV001@ya.ru )

Journal: Finance and Credit, #46, 2017

Subject The study addresses the month-of-the-year effect in the securities markets in BRICS countries. The underlying problem relates to extracting additional profit when building an investment securities portfolio, as it is a priority for each portfolio manager.
Objectives The aim is to obtain results of a cross-country analysis of the month-of-the-year effect in the stock markets of BRICS countries and to determine the efficiency of the markets under consideration.
Methods The study employs approaches of regression and econometric analysis using the Microsoft Excel and Gretl software.
Results I examined the stock exchanges in BRICS countries and determined the sustainability of the month-of-the-year effect. The latter is defined only for IBOV, RTS, TOP40 indexes, which are the main ones in Brazilian Stock Exchange (BM&FBOVESPA), Moscow Exchange and Johannesburg Stock Exchange Limited, respectively. Based on the findings, I will present the estimated degree of information efficiency of each of the analyzed markets. The obtained results may also be used for developing a trading strategy to increase the profitability of multinational investment portfolio.
Conclusions It is concluded that for only some of the considered indices is a characteristic effect of month of the year that contradict the efficient market hypothesis according to which prices of financial assets are formed independently.


Evaluation of the Month-of-the-Year Effect on the Securities Markets of the BRICS Nations

Vatrushkin S.V. National Research University – Higher School of Economics, Moscow, Russian Federation ( VSV001@ya.ru )

Journal: Digest Finance, #2, 2018

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.


Evaluation of temporal effects stability in the Russian securities market

Vatrushkin S.V. National Research University - Higher School of Economics, Moscow, Russian Federation ( VSV001@ya.ru )

Journal: Financial Analytics: Science and Experience, #4, 2015

Importance The securities market is a necessary attribute of the developed economy. It provides companies with an opportunity to raise capital through IPO, SPO, and issue of bonds. Besides, the securities market provides a possibility to attract foreign investments to the national economy. Due to the development of the Russian securities markets, the problem of their efficiency assumes special importance. "Temporal effects", which in practical terms allow deriving excess profit, are one of the forms of securities market ineffectiveness manifestation.
     Objectives The paper aims to identify "temporal effects" on the Russian market and to determine their sustainability.
     Methods The article considers the main indexes of the Moscow Stock Exchange (MICEX and RTS indexes) in various aspects. I define "temporal effects" on the maximum time interval, which is divided into sub-periods for the purpose of verifying their sustainability. I define the belonging of "temporal effects" to trade or non-trade periods to narrow the search for the possible causes of the "temporal effects" existence. The paper proves that "temporal effects" really exist in the Russian stock market, but their existence is extremely unstable, and they significantly change over time.
     Results Therefore, it is impossible to build an investment policy on the stock market on the basis of "temporal effects", because their existence in the past does not mean preserving the yield dynamics.
     Conclusions and Relevance Subsequently, the "temporal effects" do not allow deriving excess profit, which is not related with additional risk. The findings may serve as a basis for further research.


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