Индексы устойчивости фондового рынка и календарный эффект

Инвестиционный ландшафт претерпел значительные изменения. Инвесторы заинтересованы в акциях, которые не только увеличивают доход акционеров, но и уделяют первостепенное внимание экологическим, социальным и управленческим вопросам. Цель исследования — определить влияние календарного эффекта на индексы устойчивости Бомбейской фондовой биржи (BSE). Были собраны ежедневные цены закрытия торгов по BSE CARBONEX, BSE GREENEX, BSE 100, BSE Sensex и Nifty. В исследовании используются различные методы: описательная статистика, тест на единичный корень, доходность по дням недели, метод обыкновенных наименьших квадратов (OLS) и модель GARCH (1, 1). Результаты исследования показали, что доходность индексов устойчивости повторяют динамику BSE 100 и Sensex. Наблюдается высокий положительный и статистически значимый эффект вторника в течение полного периода выборки и II периода. Модель GARCH (1, 1) указывает на значительное влияние понедельника на все индексы. Результат, полученный в данной работе, полезен инвесторам для разработки инвестиционной стратегии, ученым для изучения показателей индексов за разные периоды, а бизнесменам для определения тенденций и трендов.

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