According to efficient market hypothesis, investors perceive all available information in the same manner and it is not possible that any investor obtain more profit than others. Various anomalies in stock markets cause the failure of the efficient market hypothesis. Anomalies mean that the...

The study investigates and identifies the presence of stock market anomalies for four emerging stock markets of Brazil, Russia, India and China (BRIC) for the period 1 January 2003–15 June 2013. The article uses dummy regression model to examine the existence of ‘Day of the...

Structural transformations of the MCI model are presented which make the model easily estimated using dummy variables with widely available regression packages. The MCI model is empirically shown to provide better predictive power than several other models of similar form, but ones which do not...