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ABSTRAKWe use a generalized autoregressive conditional heteroskedasticity dummy approach
to analyze the influence of calendar anomalies on conditional daily returns and risk
for the stock markets of Brazil, Russia, India, China, and South Africa from 1996 to
2018. Month-of-the-year, turn-of-the-month, day-of-the-week, and holiday effects are
investigated. The most striking day-of-the-week effect is found for Tuesdays. The turn-
of-the-month effect is validated, while, interestingly, we find no evidence of a January
effect. A general holiday effect is not documented, but the Indian market shows a
significant pre- and post-holiday effect, the Chinese market is anomalous before public
holidays, and the South African market is affected only after holidays."
