DOES DAY-OF-THE-WEEK ANOMALY INFLUENCE BRICS STOCK MARKETS? A UNIT ROOT TESTING APPROACH

  • Vandana Khanna Maharishi Markandeshwar University, Sadopur, Ambala
  • Amit Mittal Chitkara University
Keywords: BRICS, Day-of-the-Week Effect, Technical Knowledge, Unit-Root Testing, Stock Market Indices.

Abstract

The BRICS (Brazil, Russia, India, China and South Africa) economies have been selected as a basis for the present study due to two reasons. Firstly, economists have prognosticated that these nations are widely considered among the world’s ascendant economies and secondly, these countries represent almost every continent on the globe. In this context, the current study examines the existence and persistence of Day-of-the-week (DOW) effect by examining the major indices of these economies of BRICS i.e.  IBOVESPA (Brazil), RTSI (Russia), BSE-Sensex (India), SSE Composite Index (China) and FTSE ALL (South Africa). Daily closing prices of these indices are considered and examined for the period of fourteen years from January 1, 2001 upto December 31, 2014. The data has been analyzed with the help of software Eviews5. However, the findings demonstrate the existence of DOW effect in Indian and Chinese stock markets only. The results suggest that market inefficiency still exists and market is yet to price the risk appropriately by hitting the market tactically at appropriate timings. As a consequence, an investor may exploit this technical knowledge to earn abnormal returns to enter the stock market to earn abnormal profits by adjusting their portfolios accordingly.

Author Biographies

Vandana Khanna, Maharishi Markandeshwar University, Sadopur, Ambala
Associate Professor, Department of Management Studies
Amit Mittal, Chitkara University
Professor of Management and Dean (Doctoral Research Centre)
Published
28-11-2016
Section
Articles