| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 95 === 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.
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