Day of the week seasonality in African stock markets

Paul Alagidede

47 citations0/0 files storedApplied Financial Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This article investigates the day of the week anomaly in Africa's largest stock markets by looking at both the first and second moments of returns. We also incorporate market risk. We do not find day of the week effect in Egypt, Kenya, Morocco and Tunisia. However, there are significant daily seasonality in Zimbabwe, Nigeria and South Africa. Friday average return is found to be consistently higher than other days in Zimbabwe. The Nigerian market tends to display more seasonality in volatility than in expected return. The reverse hold for South Africa. Finally, the anomalies do not disappear even after accounting for risk.

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References

1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1973The Behavior of Stock Prices on Fridays and Mondays 2001Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects 1995Calendar effects in the London Stock Exchange FT–SE indices 1995Day of the week effects: new evidence from an emerging stock market 2000Modelling day-of-the-week seasonality in the S&P 500 index 2001Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation

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