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Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling

Author

Listed:
  • Daniel Agyapong
  • Theophilus Sakyiamah Atuah
  • Anthony Asare- Adu Idun

Abstract

This study investigated the existence of a day-of-the-week, January, and turn-of-the-month effects on the stock returns from the financial institutions and manufacturing companies listed on the Ghana Stock Exchange. Daily stock-price data, sourced from the Ghana Stock Exchange website, and accounting data for shareholder/net tangible asset value, sourced from audited financial statements of listed firms, was collected and analyzed with Fama and French’s three-factor model and dynamic ordinary least square regression. In addition, a time-varying effect was examined with the generalized autoregressive conditional heteroskedasticity model. No evidence was found for day-of-the-week, January, or turn-of-the-month effects in the manufacturing sector; however, effects from day of the week and January were found to exist in the financial sector. With regard to time-varying, neither sector showed evidence of conditional volatility.

Suggested Citation

  • Daniel Agyapong & Theophilus Sakyiamah Atuah & Anthony Asare- Adu Idun, 2020. "Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(8), pages 920-935.
    • Handle: RePEc:asi:aeafrj:v:10:y:2020:i:8:p:920-935:id:1988
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