2013
DOI: 10.19030/iber.v12i10.8128
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Changing Patterns In The Day-Of-The-Week Effects In African Stock Markets

Abstract: 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 INTROD… Show more

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Cited by 5 publications
(6 citation statements)
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“…However, there are some papers which reveal no significant day-of-the-week effects with regards to volatility, so this finding has not been confirmed. The existence of the "weekend effect" on the stock market has resulted in inconsistent evidence (Bhana, 1985;Chukwuogor, 2007;Coutts & Sheikh, 2002;Kalidas et al, 2013;Mbululu & Chipeta, 2012;Plimsoll et al, 2013). The purpose of the present study is to investigate the day-of-the-week effect on Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty100 midcap, Nifty 200, Nifty 100 Smallcap.…”
mentioning
confidence: 91%
“…However, there are some papers which reveal no significant day-of-the-week effects with regards to volatility, so this finding has not been confirmed. The existence of the "weekend effect" on the stock market has resulted in inconsistent evidence (Bhana, 1985;Chukwuogor, 2007;Coutts & Sheikh, 2002;Kalidas et al, 2013;Mbululu & Chipeta, 2012;Plimsoll et al, 2013). The purpose of the present study is to investigate the day-of-the-week effect on Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty100 midcap, Nifty 200, Nifty 100 Smallcap.…”
mentioning
confidence: 91%
“…However, this finding has not been confirmed. Research to determine the existence of the day-of-the-week effect on the Johannesburg Stock Exchange (JSE) has resulted in inconsistent evidence (Bhana, 1985; Chukwuogor, 2007; Coutts and Sheikh, 2002; Kalidas et al , 2013; Mbululu and Chipeta, 2012; Plimsoll et al , 2013). Inconsistencies in the results could be attributable to the different sample groups, sample periods, and statistical techniques used by various researchers.…”
Section: Introductionmentioning
confidence: 99%
“…Market anomalies include, amongst others, the day-of-the-week effect (also known as the weekend effect, Monday effect, or intraday effect), the January effect, the turn-of-the-month effect, the weather effect, and the small firm effect. The day-of-the-week effect has been extensively investigated by researchers in various countries, including Alagidede (2008), Berument and Dogan (2012), Brusa and Liu (2004), Choudhary and Choudhary (2008), Chukwuogor (2007), Darrat et al (2013), Dicle and Levendis (2014), Hsieh and Chen (2012), Jefferis and Smith (2005), Kalidas et al (2013), Latif et al (2011), Mbululu and Chipeta (2012), Ndako (2013), Plimsoll et al (2013), Rowjee (2014b), Smirlock and Starks (1986), Ulussever et al (2011).…”
Section: Introductionmentioning
confidence: 99%
“…Holiday effect is reported in South Africa, February effect for Morocco, Kenya, Nigeria and South Africa and January effect in Egypt and Zimbabwe. However, skewness and kurtosis of daily index from 2004 to 2008 were estimated by Shakeel, Douglas and Chimwemwe [124] and it was submitted that Zambia, Botswana, Nigeria and Morocco displayed significantly different DOW effects in the pre and post financial crisis while South Africa did not exhibit such. Furthermore, Derbali and Hallara [125] showed through GARCH [1,1] and asymmetry GARCH models that positive Thursdays effect is found in Tunisian market stock returns while negative Tuesday effects is present in both return and volatility.…”
Section: Calendar Anomaly From African Marketsmentioning
confidence: 99%