Stock Market Anomalies in South Africa and its Neighbouring Countries
This study adopted the alternative approach called closure test principle which is proposed by Alt et al. (2011) to examine the stock market anomalies in South Africa and its Neighbouring Countries. Overall, Egypt is the only country that has a strong Monday effect. On the other hand, weak Monday effect is found in Mauritius, Nigeria and Tunisia stock markets. When the time-varying volatility in the market returns is taken into account by the EGARCH – M model, strong Monday volatility is found in Egypt while Kenya and Nigeria is found to have weak Monday volatility.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007.
"Day-of-the-week effects in selected East Asian stock markets,"
7299, University Library of Munich, Germany.
- Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Syed Azizi Wafa Syed Khalid Wafa, 2008. "Day-of-the-week effects in Selected East Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(5), pages 1-8.
- repec:ebl:ecbull:v:7:y:2008:i:5:p:1-8 is not listed on IDEAS
- A.D. Clare & M.S.B. Ibrahim & S.H. Thomas, 1998. "The Impact of Settlement Procedures on Day-of-the-week Effects: Evidence from the Kuala Lumpur Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(3&4), pages 401-418.
- Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 637-640.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-11-00615. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.