The changing patterns in returns on African stock markets have not been adequately documented. This paper addresses this gap by testing for the day-of-the-week effect and the changes in the patterns of returns for several African stock markets. A direct test on skewness and kurtosis is in terms of highest/lowest mean returns. This paper presents new policy implications and research suggestions on the day-of-the-week patterns.Keywords: Day-Of-The Week Effect; Stock Market Returns; Kolmogorov-Smirnov Test INTRODUCTIONhe efficient market hypothesis suggests that security prices reflect all known information about a share or market at a particular point in time. This implies that one cannot consistently achieve a return greater than the average return on a given market after adjusting for the effects of risk. Thus, there should be no systematic way of investing on specific days to achieve higher returns. However, the day-of-theweek effect, which is characterised by each day exhibiting a unique expected return or movement pattern, contradicts this assumption.The day-of-the-week effect has been extensively studied across both developed and emerging markets. Studies such as Hess (1981), Keim and Stambaugh (1984), Solnik and Bousquet (1990), Basher and Sadorsky (2006) and Enowbi, Guidi, and Mlambo (2009), to name but a few, demonstrate that the distribution of returns and volatility on many indicators of stock market pricing are not normally distributed across the days of the week. Three distinct categories of market effects exist. These include the Monday effect whereby Monday exhibits the lowest returns for the week, the weekend effect which studies the differences between Monday and Friday patterns in isolation, and finally, the day-of-the-week effect which exhibits a unique expected return or movement pattern for each trading day.The idea that these anomalies do not remain fixed over time is not unique either. Doyle and Chen (2009) coined the idea of changing patterns of the day-of-the-week as "seasonal flux". It appears, however, that the testing of this "flux" has not been conducted on African markets. Most previous studies on the day-of-the-week effect have examined extensive periods of financial data and sought to find a singular pattern in returns which spans these periods. For instance, Yalcin and Yucel (2006) and Dicle and Levendis (2010) argue that the findings from the dayof-the-week studies can be used by investors to reap returns by buying shares at a low price on Monday and selling at a high price on Friday. This pattern could have changed over time because of at least two reasons. Firstly, African stock markets such as Nigeria, Zambia, and South Africa are growing rapidly and secondly, the global financial crisis of 2007/2008 could have altered trading patterns and returns on the stock exchanges of Africa. It has been T