Essays in Seasonal Anomalies and Market Efficiency

本研究提案提出了三项与欧洲新兴市场季节性异常相关的研究。第一个主题研究了两个季节性异常的持续性，一周的一天效应和一月效应，在18个欧洲新兴市场，在全球金融危机之前，期间和之后。本文将重点介绍全球金融危机对每个市场所提到的两个季节性异常现象的影响。第二篇和第三篇论文探讨了流动性和波动性变化对金融危机之前、期间和之后的一周内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性加剧了效率低下，预计流动性不足和波动性较大的新兴市场将出现季节性异常现象。研究季节性异常的持续性将为国内和国际投资者制定投资战略提供重要的启示。此外，研究金融危机对季节性异常的影响将有助于政策制定者调整现行政策，并实施新的政策以应对未来的危机。最后，对新兴市场的效率水平进行评估，对于关注新兴市场资本市场发展的国际组织和外国政府来说，也是有益的。在第一篇论文中，笔者将对2002 - 2014年欧洲18个新兴市场中的"一周效应"和"一月效应"这两种季节性异常现象的持续性进行研究。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）来调查2008年全球金融危机对这两个异常持续性的影响。一年和五年的时间框架被用来检查市场效率的任何潜在偏差是否是由危机的暂时冲击或效率水平的长期变化造成的。在我的分析中，我计划使用股票指数收益的每日和每月数据。这18个股指的数据将通过汤姆森路透社数据流收集。为了检验1月效应和周内效应对每个市场在上述每个时期的回报率和波动率的影响，我预计使用两个估计模型：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Gestival模型（2），后者用于捕获股票回报的随时间变化的波动性。第二份和第三份文件将侧重于新兴市场的两个特点，即流动性和波动性，这两个特点说明了与全球金融危机有关的季节性异常变化模式。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第一篇论文中研究的18个新兴市场在金融危机期间和之外的一周内异常和一月异常的影响。第三份文件审查了波动对18个新兴市场在金融危机期间和之外的一周中的日异常和一月份异常的影响。

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.