An assessment of the day-of the-week-effect in BRICS countries Online publication date: Fri, 09-Apr-2021
by Venkataramanaiah Malepati; Challa Madhavi Latha; K. Siva Nageswara Rao
International Journal of Comparative Management (IJCM), Vol. 3, No. 4, 2020
Abstract: The present study investigates the stock market anomalies in the stock prices of premier stock exchanges in the BRICS countries. To reach out the objectives of the study, the researchers have adopted different econometric tools such as Descriptive Statistics, Augmented Dickey-Fuller test, Phillips-Perron test, Kwiatkowski Phillips Schmidt and Shin test, Generalised Autoregressive Conditional Heteroskedasticity (GARCH (1, 1)) and Simple Regression Method. The results evident the Thursday effect on the SSEC index of China while the other days' effect is quite insignificant. Further, Bovespa-Brazil, RTSI-Russia, BSE Sensex-India, and JSE-South Africa did not exhibit any mid-day effect during the study period. As per the analysis of GARCH (1, 1), the Wednesday effect could be found for Bovespa but the Thursday effect does not exist. The effect of Thursday for RTSI, SSEC and JSE is significant while the effect of Monday is significant for BSE Sensex and JSE.
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