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An Analysis of Stock Market Anomalies and Momentum Strategies on the Stock Exchange of Mauritius

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  • S.K. Bundoo

    (University of Mauritius, Mauritius)

Abstract

The Stock Exchange of Mauritius started operations in July 1989 and as at December 2006 there were 41 listed companies with a market capitalization of US$3,540.60 million. The market index is the Semdex. This study investigates whether the stock market anomalies such as day-of-the-week effect and the January effect are present on the Stock Exchange of Mauritius over the period January 2004 to December 2006. We find negative Tuesday returns but positive returns for other days of the week. However, when we control for the size effect and the value premium as per the Fama and French (1993) three-factor model, only the Friday effect remains significant. The possible profit opportunities on the SEM in terms of both economic and statistical significance are also investigated. Finally, the study investigated investment strategies based on momentum in returns on the Stock Exchange of Mauritius and how robust these strategies are after controlling for size and value. The mean excess returns are statistically significant at the 1% level for momentum portfolios. We also find strong support for the Carhart’s (1997) model where the momentum factor is priced. The explanatory power of the momentum factor in fact dominates that of size and value

Suggested Citation

  • S.K. Bundoo, 2011. "An Analysis of Stock Market Anomalies and Momentum Strategies on the Stock Exchange of Mauritius," Working Papers 227, African Economic Research Consortium, Research Department.
    • Handle: RePEc:aer:wpaper:227
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    Cited by:

    1. Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model," Comparative Economic Research, Sciendo, vol. 22(3), pages 145-162, September.
    2. Esther Ikavbo Evbayiro-Osagie & Ifuero Osad Osamwonyi, 2017. "A Comparative Analysis of Four-Factor Model and Three-Factor Model in the Nigerian Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 38-52, October.
    3. Miroslav M. Ristić & Yuvraj Sunecher & Naushad Mamode Khan & Vandna Jowaheer, 2019. "A GQL-based inference in non-stationary BINMA(1) time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(3), pages 969-998, September.
    4. Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 27(4), pages 71-94, December.
    5. Sunecher Yuvraj & Mamode Khan Naushad & Jowaheer Vandna, 2019. "Modelling with Dispersed Bivariate Moving Average Processes," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-19, January.

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