Calendar anomalies in Russian stocks and bonds

Abstract

Purpose

The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the Russian transition to a free market economy and provides an opportunity to examine an important emerging market in the process of transition, while adding to the extensive body of research on calendar anomalies.

Design/methodology/approach

Parametric and non-parametric tests are used to examine two Russian stock indices and two Russian bond indices for evidence of persistent calendar patterns in daily returns. The paper also includes in the study a US bond index and US stock index.

Findings

There is strong evidence of a persistent monthly pattern (but no January effect) and strong evidence of weekday seasonality (but no Monday effect) in the Russian bond market. There is also strong support for a TOM effect in the Russian and US stock and bond markets.

Research limitations/implications

The stock return data cover a ten-year period covering two recessions, two bull markets, and two bear markets, including the 2008 crisis. The bond market data are limited to six years of data and the results may be biased by the time period analyzed.

Originality/value

This is the first study, to the knowledge, that extensively examines the Russian stock and bond markets for evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds.

Citation

Compton, W., A. Kunkel, R. and Kuhlemeyer, G. (2013), "Calendar anomalies in Russian stocks and bonds", Managerial Finance, Vol. 39 No. 12, pp. 1138-1154. https://doi.org/10.1108/MF-03-2013-0067