Seasonal effects: Evidence from emerging African stock markets
Domaine:
socioeconomicType de record:
paper
Créateur:
C. N.
Éditeur:
AOS
Hôte:
The paper investigates seasonal effects in seventeen indices on nine African stock markets using regression analysis and the Kruskal-Wallis and Chi-square Median tests. Significant seasonal effects are found on some, but not all indices. The strongest effect observed is the month-of-the-year effect followed by the day-of-the-week effect. The West African Regional stock Exchange (BRVM) exhibited a reversed ‘December decline - January rise’ pattern, while the turn-of-the-month effect observed for Egypt disappeared after the turn-of-the-year effect was removed. Using the Kruskal-Wallis test, no seasonal effects for Namibia were found. For the other markets, at least one seasonal effect was observed, suggesting some exploitable trading opportunities.
Similaires
Investor sentiment, optimism and excess stock market returns. Evidence from emerging marketsStock return seasonalities in low‐income African emerging marketsPresidential elections and stock return volatility: evidence from selected sub-Saharan African stock marketsStock return synchronicity in a weak information environment: evidence from African marketsPredicting stock market crashes on the African stock markets: evidence from log-periodic power law modelStock Indices of African markets Stock Indices of African markets