Stock Market Calendar Anomalies in Sub-Saharan Africa Stock Markets

With the use of appropriate tools and correct timing of the stock market, investors can predict the stock market and yield abnormal returns. One strategy can be based on the identification of calendar anomalies in a pursuit to increase returns and attain abnormal profits. The aim of this study was to find the presence of market inefficiency through identification of exploitable calendar anomalies (i.e. Day of the Week Effect, January Effect and Halloween Effect) in the S&P500 and ten African stock markets using a novel approach of generalized additive models (GAMs). The week effect and January effect were only prevalent in the S&P500 and new day of the week as well as month of the year effects were noticeable for the African stock markets through the April effect, May effect, August effect and October effect. No presence of the Halloween effect was identified for any of the eleven stock markets. African markets were found to be inefficient owing to calendar anomalies presence. The findings of this study affirm the Adaptive Markets hypothesis in that there are ever changing stock market ecologies resultantly giving rise to new calendar anomalies.