Essays in Seasonal Anomalies and Market Efficiency

本研究提案提出了三个与欧洲新兴市场季节性异常存在相关的研究。第一个主题调查了在全球金融危机之前、期间和之后，18个欧洲新兴市场的两种季节性异常现象——一周中的一天效应和一月效应——的持续性。本文将重点讨论全球金融危机对每个市场出现上述两种季节性异常的影响。第二篇和第三篇论文探讨了流动性和波动性的变化对金融危机之前、期间和之后的星期效应和一月效应的影响。预计新兴市场的季节性异常现象将持续存在，而发达市场的季节性异常现象已消失。这是因为新兴市场的效率低于发达市场。此外，由于流动性不足和波动加剧了效率低下，预计流动性不足和波动较大的新兴市场将出现季节性异常。研究季节性异常的持续性将为国内外投资者制定投资策略提供重要启示。此外，研究金融危机对季节异常的影响将有助于政策制定者调整当前政策和实施新政策以应对未来危机。最后，评估新兴市场的效率水平有利于对新兴国家资本市场发展感兴趣的国际组织和外国政府。在第一篇论文中，我建议研究2002年至2014年期间18个欧洲新兴市场的两种季节性异常现象——周中天数效应和1月效应——的持续性。我计划通过分析2007-2009年期间以及金融危机前后的短期（1年）和长期（5年）时期来研究2008年全球金融危机对这两种异常持续的影响。这个1年和5年的时间框架用来检查市场效率的任何潜在偏差是由危机的暂时冲击还是由效率水平的长期变化引起的。在我的分析中，我计划使用每日和每月的股票指数回报数据。这18个股票指数的数据将通过汤森路透数据流收集。为了检验一月效应和星期效应对上述每个时期每个市场的收益和波动性的影响，我预计使用两种估计模型：Coutts和Sheikh（2000）使用的普通最小二乘（OLS）回归模型(1)，以及Engle（1982）提出并由Bollerslev（1986）进一步发展的GARCH模型(2)，后者被用来捕捉股票收益的时变波动性。第二篇和第三篇论文将重点关注新兴市场的两个特征：流动性和波动性，它们解释了与全球金融危机相关的季节性异常模式的变化。由于较低的流动性和较高的波动性促进了低效率（Chordia， Roll和Subrahmanyam， 2008），研究这些市场特征对季节性异常的影响将是有趣的。第二篇论文将测试流动性对金融危机期间和金融危机之外的18个新兴市场的日异常和1月份异常的影响。第三篇论文考察了18个新兴市场在金融危机期间和危机之外波动性对周中工作日异常和1月份异常的影响。

This research proposal presents three studies related to presence of seasonal anomalies in European emerging markets. The first topic investigates the persistence of two seasonal anomalies, the day of the week effect and the January effect, in 18 European emerging markets, before, during and after the Global financial crisis. This paper would highlight the impact of the Global financial crisis on the presence of the two seasonal anomalies mentioned for each market. The second and third papers explore the effect of changes in liquidity and volatility on the presence of the day-of-the-week effect and the January effect prior, during and following the financial crisis. Seasonal anomalies are expected to persist in emerging markets, while they have been found to disappear in developed markets. This is due to emerging markets being less efficient than developed markets. Furthermore, as illiquidity and volatility promote inefficiency, seasonal anomalies are expected to be present in more illiquid and more volatile emerging markets. Studying the persistence of seasonal anomalies will provide important implications to both domestic and international investors for developing investment strategies. Moreover, studying the impact of the financial crisis on seasonal anomalies will be useful to policy makers, for adjusting current policies and for implementing new policies in response to future crisis. Finally, assessing the level of efficiency in emerging markets benefits international organizations and foreign governments interested in the development of capital markets in the emerging countries.In the first paper, I propose to examine the persistence of two seasonal anomalies, the day-of-the-week effect and the January effect, in 18 European emerging markets, from 2002-2014. I plan to investigate the impact of the Global financial crisis of 2008 on the persistence of these two anomalies by analyzing the 2007-2009 period as well as the short-term (1 year) and long-term (5 years) periods before and after the financial crisis. This time frame of one year and five years is used to examine whether any potential deviations in the market efficiency are caused by a temporary shock from the crisis or by a long-term shift in the efficiency level. In my analysis, I plan to use daily and monthly data on stock index returns. The data for these 18 stock indexes will be collected through the Thomson Reuters Datastream. To test for the presence of January effect and day-of-the-week effect on both returns and volatility in each market for each period mentioned, I anticipate using two estimation models: ordinary least squares (OLS) regression model (1) used by Coutts and Sheikh (2000), and the GARCH model (2) proposed by Engle (1982) and further developed by Bollerslev (1986), the latter being used to capture the time-varying volatility of the stock returns. The second and third papers will focus on two characteristics of emerging markets, liquidity and volatility, which account for the changing patterns of seasonal anomalies in relation to the Global financial crisis. As lower liquidity and higher volatility promote inefficiency (Chordia, Roll and Subrahmanyam, 2008), it would be interesting to study the effect of these market characteristics on seasonal anomalies. The second paper will test the effect of liquidity on the day-of-the-week anomaly and the January anomaly during and outside the financial crisis period for the 18 emerging markets examined in the first paper. The third paper examines the impact of volatility on the day-of-the-week anomaly and on the January anomaly during and outside of the financial crisis period for the 18 emerging markets.