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Stock Market Anomalies in South Africa and its Neighbouring Countries

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  • Chia Ricky Chee-Jiun

    ()
    (Labuan school of International Business and Finance, Universiti Malaysia Sabah)

  • Lim Shiok Ye

    ()
    (Labuan School of International Business and Finance, Universiti Malaysia Sabah.)

Abstract

This study adopted the alternative approach called closure test principle which is proposed by Alt et al. (2011) to examine the stock market anomalies in South Africa and its Neighbouring Countries. Overall, Egypt is the only country that has a strong Monday effect. On the other hand, weak Monday effect is found in Mauritius, Nigeria and Tunisia stock markets. When the time-varying volatility in the market returns is taken into account by the EGARCH – M model, strong Monday volatility is found in Egypt while Kenya and Nigeria is found to have weak Monday volatility.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P283.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 4 ()
Pages: 3123-3137

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Handle: RePEc:ebl:ecbull:eb-11-00615

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Related research

Keywords: Monday Effect; Multiple Hypotheses Testing; Closed Test Procedures;

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  1. repec:ebl:ecbull:v:7:y:2008:i:5:p:1-8 is not listed on IDEAS
  2. Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(10), pages 637-640.
  3. A.D. Clare & M.S.B. Ibrahim & S.H. Thomas, 1998. "The Impact of Settlement Procedures on Day-of-the-week Effects: Evidence from the Kuala Lumpur Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 25(3&4), pages 401-418.
  4. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007. "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper 7299, University Library of Munich, Germany.
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