Seasonality, returns and volatility on the Stock Exchange of Mauritius

Abstract

This article investigates the effects of any seasonality on stock market returns and volatility on the Stock Exchange of Mauritius. A standard GARCH model was used on daily SEMDEX returns from 1998 to 2006. The results obtained indicate that the return series are leptokurtic, indicating a higher peak and a thicker tail than a normal distribution. Also, the mean returns on Fridays seem to be the highest while average returns on Mondays turn out to be insignificant. Finally, significant effects of weekdays were found on the conditional variance on the stock returns.

Accounting year-end dispersion and seasonality in the Japanese corporate bond market

“…On the other hand, substantial empirical studies have investigated seasonality of stock prices not only in advanced countries but also in emerging economies (e.g.,Cheung and Coutts, 1999;Coutts and Sheikh, 2000;Jarrett and Kyper, 2005;Asteriou and Kavetsos, 2006;Ushad, 2009;Chang et al, 2010).…”