Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets

Obalade, Adefemi A.; Muzindutsi, Paul-François

doi:10.7206/cemj.2658-0845.10

Cited by 8 publications

(8 citation statements)

References 41 publications

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“…In this replication study, we confirm precedent results of Obalade and Muzindutsi (2019) regarding the Mauritian Index. Indeed, we detect the presence of January, September and December effects.…”

Section: Discussionsupporting

confidence: 85%

“…African stock markets are members of the African Stock Exchanges Association (ASEA). According to Table 1, This paper is a replication the study of Obalade and Muzindutsi (2019), in which the authors investigate calendar anomalies in African stock markets. However, while the authors use Markov switching models, we apply in the present paper the usual approach that permit the detection of calendar anomalies in financial markets (Gibbons & Hess, 1981;Peterson, 1990;Solnik & Bousquet, 1990;Raj & Thurston, 1994;Keef & Roush, 2005;Ariss et al, 2011;M.…”

Section: Introductionmentioning

confidence: 99%

“…We extend the sample to 16 African stock indices. 1 Also, while Obalade and Muzindutsi (2019) study two calendar anomalies (the month of the year and the intra-months effects) in the Gregorian calendar, we extend the calendar anomalies studied and investigate the Day of the week effect (Monday effect and Friday effect) and the Month of the year effect (January effect and Ramadan effect) both in the Gregorian and the Hijri calendars.…”

Section: Introductionmentioning

confidence: 99%

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Calendar anomalies in African stock markets

Ferrouhi

Kharbouch

Aguenaou

et al. 2021

Cogent Economics & Finance

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In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS regression with robust standard errors. January is the first month of the Gregorian calendar, while Ramadan is the 9 th and the most sacred month of the lunar calendar, used in Muslim countries. The results obtained show the existence of Monday effect in BRVM and Namibia, Friday effect in Kenya and Namibia, January effect in Botswana and Zambia, December effect in Botswana, BRVM and Egypt and Ramadan effect in Tunisia.

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Section: Discussionsupporting

confidence: 85%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Calendar anomalies in African stock markets

Ferrouhi

Kharbouch

Aguenaou

et al. 2021

Cogent Economics & Finance

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“…A similar approach was upheld by Obalade & Muzindutsi (2019), who studied the month effect in the stock markets of African countries (Nigeria, South Africa, Mauritius, Morocco and Tunisia) under different market conditions from January 1998 to February 2018. These authors found that the month effect is different depending on whether the market is experiencing downward or upward trends.…”

Section: Literature Reviewmentioning

confidence: 98%

The Month Effect in the Baltic and Nordic Stock Markets at Market-Level and Sector-Level

Norvaišienė

Stankevičienė

2022

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The purpose of this study is to analyze and compare the trends in the expression of the month effect in the Nasdaq Baltic and Nasdaq Nordic stock markets, as well as to examine whether the seasonal stock price fluctuations occur in all industrial sectors of these markets or are specific to certain sectors only. The OMX Baltic Benchmark, OMX Baltic, and OMX Nordic 40 indexes, which reflect the situation in the Baltic and Nordic stock markets, were used in the study to assess seasonality at the market level. To assess the seasonality in separate sectors of the Baltic and Nordic markets, we used sectoral indexes calculated in these markets. The data sample covers the period from January 2, 2004 through December 31, 2019. The methodology of the research used to examine seasonality in daily returns entails estimating a regression with dummies and GARCH (1,1) to capture month effects. Although the results of OLS and GARCH (1,1) analysis were quite different, they proved the existence of the month effect in both the Baltic and Nordic stock markets. The results of the analysis of seasonal fluctuations in stock prices at sector-level evidenced that month effects appear both in Baltic market and Nordic market, which allows earning abnormal returns in particular months for those who invested in stock of certain sectors. Our research has evidenced that trends in the volatility of stock prices in separate months in the Baltic countries are not stable and are characterized by greater instability as compared to the Nordic countries.

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“…It must be noted that studies reviewed in this subsection are not linked with AMH except the Urquhart and McGroarty [166] and Shahid and Sattar [173]. In support of responsiveness of calendar anomalies to changing regimes of AMH, Obalade and Muzindutsi [175,176] applied Markov-Switching Models in selected African markets. In essence, there is a dearth of study of calendar anomalies cum market condition and only a few studies seem to support AMH.…”

Section: Calendar Anomalies and Market Condition Studiesmentioning

confidence: 99%

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

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Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets

Abstract: English-language editing of that article was financed under Agreement 672/ P-DUN /2019 with funds from the Ministry of Science and Higher Education allocated to the popularization of science.

Cited by 8 publications

References 41 publications

Calendar anomalies in African stock markets

Calendar anomalies in African stock markets

The Month Effect in the Baltic and Nordic Stock Markets at Market-Level and Sector-Level

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

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