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Calendar Anomalies in the Ghana Stock Exchange

Author

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  • Paul Alagidede

    (Paul Alagidede is at the University of Stirling Management School, Division of Economics, University of Stirling, UK. E-mail: paul.alagidede@stir.ac.uk)

  • Theodore Panagiotidis

    (Theodore Panagiotidis is at the Department of Economics, University of Macedonia, Thessaloniki, Greece. E-mail tpanag@uom.gr)

Abstract

Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both academics and practitioners. Non-linear models from the generalised autoregressive conditional heteroscedasticity (GARCH) family are used in a rolling framework to investigate the role of asymmetries and assess the effects of policy and institutional changes. Contrary to a January return pattern in most markets, an April effect is found for Ghana. The latter disappears in a rolling framework. The day of the week effect is modelled with an asymmetric GARCH model as the benchmark linear paradigm was rejected. Friday's return was found to be the most significant but this seasonality disappears when a rolling window is employed (time-varying asymmetric GARCH).

Suggested Citation

  • Paul Alagidede & Theodore Panagiotidis, 2009. "Calendar Anomalies in the Ghana Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 1-23, April.
    • Handle: RePEc:sae:emffin:v:8:y:2009:i:1:p:1-23
    DOI: 10.1177/097265270900800101
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    References listed on IDEAS

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    4. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
    5. Kanungo, Rama Prasad, 2021. "Uncertainty of M&As under asymmetric estimation," Journal of Business Research, Elsevier, vol. 122(C), pages 774-793.
    6. Boamah, Nicholas Addai, 2017. "The dynamics of the relative global sector effects and contagion in emerging markets equity returns," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 433-453.
    7. Alagidede, Paul & Baah-Boateng, William & Nketiah-Amponsah, Edward, 2013. "The Ghanian economy: and Overview," MPRA Paper 109687, University Library of Munich, Germany.
    8. Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.
    9. Adefemi A. OBALADE & Akona TSHUTSHA & Lungelo MVUYANA & Nothando NDLOVU & Paul-Francois MUZINDUTSI, 2022. "Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 6(1), pages 19-35.
    10. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The Day-of-the-Week Effect is Weak: Evidence from the European Real Estate Sector," Working Paper series 15-19, Rimini Centre for Economic Analysis.
    11. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
    12. 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, August.
    13. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).
    14. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2017. "Financial crisis, the real sector and global effects on the African stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 88-96.
    15. Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.
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    More about this item

    Keywords

    Calendar anomalies; non-linearity; market efficiency; asymmetric volatility; rolling windows; JEL Classification: C22; JEL Classification: C52; JEL Classification: G10;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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