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Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange

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Abstract

This paper investigates two calendar anomalies in an emerging African market. Both the day of the week and month of the year effects are examined for Ghana. The latter is an interesting case because i) it operates for only three days per week during the sample period and ii) the increased focus that African stock markets have received lately both from academics and practitioners. We employ rolling techniques to asses the affects of policy and institutional changes. This allows deviations from the linear paradigm. We finally employ non-linear models from the GARCH family in a rolling framework to investigate the role of asymmetries. Contrary to a January return pattern in most markets, an April effect is found for Ghana. The evidence also shows the presence of the day of the week effects with asymmetric volatility performing better than the benchmark linear estimates. This seasonality though disappears when only the latest information is used (time-varying asymmetric GARCH). Our approach provides a new framework for investigating this well-known puzzle in finance.

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File URL: http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/Ghana12062006.pdf
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Bibliographic Info

Paper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2006_13.

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Date of creation: Jun 2006
Date of revision: Jun 2006
Handle: RePEc:lbo:lbowps:2006_13

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Keywords: Calendar Anomalies; Non-Linearity; Market Efficiency; Asymmetric Volatility; Rolling windows.;

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Cited by:
  1. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper 593, University Library of Munich, Germany, revised 07 Oct 2006.

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