Stock Market Anomalies: A Study of Seasonal Effects on Average Returns of Nairobi Securities Exchange

Abstract

This paper examines the presence of day of the week effect anomaly in Nairobi Securities Exchange (NSE). Several hypotheses have been formulated; t-test, F-test and the ANOVA analysis model were used in the study. The study examined three types of anomalies namely, day of the week effect, weekend effect and monthly effect. The analysis provides evidence about the presence of the seasonal effect in the NSE. Thus it was established that the stock markets in Kenya are not yet free from seasonal anomalies despite increased use of information technology and numerous regulatory developments. Keywords: Seasonal anomalies, Day of the week effect, Weekend effect, Monthly effect

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