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Volatility and calendar anomaly through GARCH model: evidence from the selected G20 stock exchanges

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  • Shraddha Mishra

Abstract

The recurring nature of the stock market suggested that past behaviour would tend to re-emerge in future. As to predict the future, it is fruitful to comprehend the patterns. Calendar anomalies are much reflected on these assumptions. Thus, we attempt to capture the day of the week pattern of market returns and volatility. The study considers 20 different economies from the G20 countries, spans over the period of five years (after recession) spread from January 2009 to December 2014. We find that some calendar anomalies are persistent in the stock return pattern for all the selected economies. The day of the week effect shows positive results majorly for emerging stock markets. As far as volatility is concerned, a few markets reveal that volatility is highly increased after a negative return. In the scenario, it is advised that investors may require being more cognisant about the negative news than the positive news in the market.

Suggested Citation

  • Shraddha Mishra, 2017. "Volatility and calendar anomaly through GARCH model: evidence from the selected G20 stock exchanges," International Journal of Business and Globalisation, Inderscience Enterprises Ltd, vol. 19(1), pages 126-144.
    • Handle: RePEc:ids:ijbglo:v:19:y:2017:i:1:p:126-144
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    Cited by:

    1. G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2022. "Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model," MPRA Paper 114027, University Library of Munich, Germany.
    2. Rashmi Chaudhary & Priti Bakhshi & Hemendra Gupta, 2020. "Volatility in International Stock Markets: An Empirical Study during COVID-19," JRFM, MDPI, vol. 13(9), pages 1-17, September.
    3. Narendar V., Rao & K.S., Reddy, 2017. "Guest Editorial: Institutional role, the Market for corporate control and Firm performance," MPRA Paper 80235, University Library of Munich, Germany.

    More about this item

    Keywords

    stock market volatility; calendar anomaly; time series analysis; G20 nations; market returns; institutional environment; global financial crisis; GARCH model.;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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