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http://rts.micex.ru/154. http://www.bmfbovespa.com.br/en_us/index.htm155. http://www.bseindia.com/156. http://www.hkex.com.hk/eng/index.htm157. https://www.jse.co.za/158. https://www.nseindia.com/142Список иллюстративного материалаТаблица 1. Время приостановки торгов при превышении лимитов отклонения ценна национальной фондовой бирже Индии……………………………………….….84Таблица 2. Периоды рассмотрения индексов стран БРИКС……………….………84Таблица 3. Эффект дня недели на фондовых индексах стран БРИКС....………….94Таблица 4. Эффект смены месяца на фондовых индексах стран БРИКС……..…..99Таблица 5.
Эффект месяца на фондовых индексах стран БРИКС………………..107Таблица 6. Эффект предновогоднего ралли на фондовых индексах странБРИКС………………………………………………………………………………..112Таблица 7. Эффект внутри квартала на фондовых индексах стран БРИКС……..116Таблица 8. Временные эффекты на фондовых индексах стран БРИКС………....120143ПриложенияПриложение 1. Эффект дня недели. Бразилия / BM&FBOVESPA / IBOV.Понед-кИндекс IBOV. 03.01.1968-30.06.2015Коэффициент-0,0348452Ст. откл.0,0342065z-стат.-1,0187P-знач.0,30836Кол-во наблюдений2332Среднее значение-0,0288Индекс IBOV. 03.01.1968-30.12.1969Коэффициент0,320485Ст.
откл.0,125532z-стат.2,5530P-знач.0,01068**Кол-во наблюдений99Среднее значение0,7183Индекс IBOV. 05.01.1970-30.12.1974Коэффициент-0,245428Ст. откл.0,103925z-стат.-2,3616P-знач.0,01820**Кол-во наблюдений246Среднее значение-0,1081Индекс IBOV. 02.01.1975-28.12.1979Коэффициент-0,142904Ст. откл.0,0748132z-стат.-1,9101P-знач.0,05611*Кол-во наблюдений249Среднее значение-0,1244Индекс IBOV.
02.01.1980-28.12.1984Коэффициент-0,0962021Ст. откл.0,0877605z-стат.-1,0962P-знач.0,27300Кол-во наблюдений244Среднее значение0,195ВторникСр. зав.перемен.СредаЧетвергПятницаR(-1)ωαβ0,05499930,03362771,63550,1019423470,26280,2256040,03326116,7828<0,00001***23590,37150,2174540,03407916,3809<0,00001***23210,38130,2775830,03429238,0946<0,00001***23280,48070,1585280,0098609716,0763<0,00001***0,07424750,008444728,7922<0,00001***0,1389110,0075830818,3185<0,00001***0,8554020,0072935117,2828<0,00001***0,2901370,05942960,119490,49740,618931000,1476-0,04462710,117037-0,38130,70297970,01770,4722490,1179974,00220,00006***960,66540,1198820,1258790,95240,34092980,57780,3175950,04887686,4979<0,00001***0,2497240,07845643,18300,00146***0,320070,07516654,25810,00002***0,6139060,07133868,6055<0,00001***0,348247-0,08374680,101826-0,82240,41082245-0,18420,1699580,09807131,73300,08309*2420,23210,1714520,1032641,66030,09685*2440,14050,2619620,1052032,49010,01277**2410,33340,2362480,03250027,2691<0,00001***0,3870020,07971384,8549<0,00001***0,2409860,03889946,1951<0,00001***0,6862410,042495316,1486<0,00001***0,079293-0,0155510,0725603-0,21430,830302490,04440,1625740,07332772,21710,02662**2480,17990,1955660,07586882,57770,00995***2430,22350,219090,07553392,90060,00373***2470,23450,1832850,02884696,3537<0,00001***0,08602230,02584553,32830,00087***0,1416630,02364615,9910<0,00001***0,8154340,028856128,2586<0,00001***0,110950-0,09620210,0844867-0,93050,352112460,03730,4578450,08496695,3885<0,00001***2490,75370,3338740,08804943,79190,00015***2450,60160,3458830,08858863,90440,00009***2460,6320,3931090,029227113,4502<0,00001***0,1357320,03895333,48450,00049***0,1964050,03074396,3884<0,00001***0,7715220,033183123,2505<0,00001***0,443458144Индекс IBOV.
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