Effect of Month on Russian Stock Market and Impact of Transaction Costs

The article analyzes the calendar anomaly effect connected with a certain month on Russian stock market. The effect of the month is a season anomaly, which implies that share profitability in different months of the year can seriously differentiate. The author analyzes historical data of 4 indices – IMOEX, RTSI, MCXSM, MOEXBC – with various company capitalization, certain regularities in share price dynamics can be seen in different months. The research covering the period from 2010 to 2023 was carried out with the help of linear regressive analysis. To raise accuracy of results apart from the principle period sub-periods with different share market volatility were studied: from 2010 to 2018; from 2019 to 2023 and the modified complete gap excluding 2020 and 2022. The findings of the research show the presence of May effect in the modified time gap for RTSI index. However, in case transaction costs are taken in account, for instance agent relation costs, the presence of anomaly is refuted at the expense of commission on stock market. For 2 sub-periods the presence of anomaly in all four indices was not confirmed due to small sample.