Tržní anomálie na akciových trzích zemí BRICS

Abstract

The aim of the thesis is to confirm or refute the January effect of stock markets in Brazil, Russia, India, China and South Africa, known asi BRICS. This best-known anomaly is tested by using equity indices of these markets. The thesis is divided, apart from the introduction and conclusion, into three main chapters. The second chapter focuses on presenting the hypothesis of efficient markets and describing the most common market anomalies. In the third chapter are described the main statistical methods which can test the January effect. The practical part of this thesis is contained in the fourth chapter. First of all are described, the BRICS stock markets, their market capitalization and trading volumes. Subsequently, the test of the January effect itself is performed, using pairwise t-tests, single-acting ANOVA and linear regression. At the end of the chapter is a final summary of the achieved results.