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Stock Market Anomalies in South Africa and its Neighbouring Countries

Author

Listed:
  • Chia Ricky Chee-Jiun

    () (Labuan school of International Business and Finance, Universiti Malaysia Sabah)

  • Lim Shiok Ye

    () (Labuan School of International Business and Finance, Universiti Malaysia Sabah.)

Abstract

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.

Suggested Citation

  • Chia Ricky Chee-Jiun & Lim Shiok Ye, 2011. "Stock Market Anomalies in South Africa and its Neighbouring Countries," Economics Bulletin, AccessEcon, vol. 31(4), pages 3123-3137.
  • Handle: RePEc:ebl:ecbull:eb-11-00615
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P283.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. repec:ebl:ecbull:v:7:y:2008:i:5:p:1-8 is not listed on IDEAS
    3. Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 637-640.
    4. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Monday Effect; Multiple Hypotheses Testing; Closed Test Procedures;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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