Day of the week seasonality in African stock markets
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 4 (2008)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/titles/17446546.asp
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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,"
19116, University Library of Munich, Germany.
- Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.