Title: An assessment of the day-of the-week-effect in BRICS countries

Authors: Venkataramanaiah Malepati; Challa Madhavi Latha; K. Siva Nageswara Rao

Addresses: SG Govt. Degree & PG College, Piler, Andhra Pradesh, India ' Department of CSE, CMR college of Engineering & Technology, Hyderabad, Telangana, India ' Department of Management Studies, Vignan Foundation for Science, Technology & Research, Guntur, Andhra Pradesh, India

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.

Keywords: BRICS; day-of-the-week-effect; generalised autoregressive conditional heteroskedasticity; augmented dickey-fuller test; efficient market hypothesis.

DOI: 10.1504/IJCM.2020.114149

International Journal of Comparative Management, 2020 Vol.3 No.4, pp.305 - 322

Received: 28 Sep 2020
Accepted: 30 Jan 2021

Published online: 27 Mar 2021 *

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