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Day of the week seasonality in African stock markets

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Author Info

  • Paul Alagidede

Abstract

This article investigates the day of the week anomaly in Africa's largest stock markets by looking at both the first and second moments of returns. We also incorporate market risk. We do not find day of the week effect in Egypt, Kenya, Morocco and Tunisia. However, there are significant daily seasonality in Zimbabwe, Nigeria and South Africa. Friday average return is found to be consistently higher than other days in Zimbabwe. The Nigerian market tends to display more seasonality in volatility than in expected return. The reverse hold for South Africa. Finally, the anomalies do not disappear even after accounting for risk.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540701537749&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 4 (2008)
Issue (Month): 2 ()
Pages: 115-120

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Handle: RePEc:taf:apfelt:v:4:y:2008:i:2:p:115-120

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Cited by:
  1. Batuo Enowbi, Michael & Guidi, Francesco & Mlambo, Kupukile, 2009. "Testing the weak-form market efficiency and the day of the week effects of some African countries," MPRA Paper 19116, University Library of Munich, Germany.
  2. Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
  3. Giovanis, Eleftherios, 2009. "Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB," MPRA Paper 22326, University Library of Munich, Germany.
  4. Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.

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