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Revisitiing calender anomalies in brics countries

Harald Kinateder; Kimberly Weber; Niklas F. Wagner (Bank Indonesia Insitute, 2019)

 Abstrak

ABSTRAK
We use a generalized autoregressive conditional heteroskedasticity dummy approach
to analyze the influence of calendar anomalies on conditional daily returns and risk
for the stock markets of Brazil, Russia, India, China, and South Africa from 1996 to
2018. Month-of-the-year, turn-of-the-month, day-of-the-week, and holiday effects are
investigated. The most striking day-of-the-week effect is found for Tuesdays. The turn-
of-the-month effect is validated, while, interestingly, we find no evidence of a January
effect. A general holiday effect is not documented, but the Indian market shows a
significant pre- and post-holiday effect, the Chinese market is anomalous before public
holidays, and the South African market is affected only after holidays.

 Metadata

No. Panggil : 332 BEMP 22:2 (2019)
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Subjek :
Penerbitan : Jakarta: Bank Indonesia Insitute, 2019
Sumber Pengatalogan : LibUI eng rda
ISSN : 14108046
Majalah/Jurnal : Bulletin of Monetary Economics and Banking
Volume : Vol. 22, No. 2, 2019: Hal. 213-236
Tipe Konten : text
Tipe Media : unmediated
Tipe Carrier : volume
Akses Elektronik :
Institusi Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, lantai 4, R. Koleksi Jurnal
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
332 BEMP 22:2 (2019) 03-20-713831657 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20502728