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Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets

Author

Listed:
  • Obalade Adefemi A.

    (School of Accounting, Economics & Finance, University of KwaZulu-Natal, South Africa)

  • Muzindutsi Paul-Francois

    (School of Accounting, Economics & Finance, University of KwaZulu-Natal, South Africa)

Abstract

Purpose: This paper examines the changing behavior of two calendar anomalies in African stock returns – the month-of-the-year and the intra-month effects – and their implications for the adaptive market hypothesis (AMH).

Suggested Citation

  • Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 27(4), pages 71-94, December.
    • Handle: RePEc:vrs:jmbace:v:27:y:2019:i:4:p:71-94:n:1
    DOI: 10.7206/cemj.2658-0845.10
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    References listed on IDEAS

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    More about this item

    Keywords

    calendar effect; intra-month; AMH; African stock markets; Markov switching model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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