The Monthly Effect in BRICs Stock Markets

[[abstract]]2003年10月高盛證券發表第九十九號研究報告，預測2050年之前，全球的經濟發展重心將逐漸移往金磚四國的巴西、俄羅斯、印度與中國。自此，全球投資人開始注意金磚四國與新興市場的發展。坊間雖有許多預測金磚四國股價變化與未來發展趨勢的研究，但關於金磚四國股票市場季節性異常報酬的文獻卻鮮少見到。因此本研究針對金磚四國各取一種代表性的股價指數，分別為巴西Bovespa指數、俄羅斯RTS指數、印度Sensex 30指數和中國上海綜合股價指數，分別探討金磚四國的股票市場是否有月底、半月與第三月等月效應的現象。研究期間為1997年1月至2006年12月。資料來源為Datastream財經資料庫之國際股價指數交易日收盤價。實證結果顯示，巴西、俄羅斯、印度與中國皆有月底效應；半月效應僅存在於俄羅斯和印度；第三月效應則存在於巴西和印度。[[abstract]]Since Goldman Sachs Financial Workbench published a global economics paper no. 99, which title was “Dreaming with BRICs: The Path to 2050” in October 2003, the whole global investors have kept an eye on BRICs and other emerging markets. Although there are many researches about prediction of stock index and the trend in BRICs, only few academic papers regarding its seasonal anomalies can be found. The purpose of this thesis is to investigate if the three monthly effects exist in BRICs stock markets. By using the hypothesis of the three monthly effects, we took each well-known stock index in BRICs to examine the anomalies. The study period was from January 1997 to December 2006 and each close price of trading days was selected from Datastream. The empirical results indicate that the turn-of-the-month effect exists in BRICs, the half-month effect exists in Russia and India and the third month effect exists in Brazil and India