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The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997

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  • J. Andrew Coutts
  • Mohamed Sheikh

Abstract

This paper investigates the existence of the Weekend, January and Pre-Holiday effects in the All Gold Index on the Johannesburg Stock Exchange over an 11- year period; 5 January 1987 through 15 May 1997, and for three sub-samples of equal length. These results are in severe contrast to the overwhelming international evidence documented for the stock markets of many other countries, be they developed or emerging markets: there appears to be no Weekend, January or Pre-Holiday effects, present in the All Gold Index. This is somewhat surprising as some financial economists have suggested that the above seasonalities are now accepted 'stylised facts'! This paper suggests that the lack of any detectable calendar effects, may, in part, be due to the particular market microstructure of the Johannesburg Stock Exchange or the composition of the All Gold Index. Consequently this paper concludes that further research is required in this area. This is a somewhat ironic conclusion: usually security market anomalies studies are concerned with offering suggestions as to why a particular seasonality has occurred, here this study is suggesting that further research is required as to why anomalies have not occurred.

Suggested Citation

  • J. Andrew Coutts & Mohamed Sheikh, 2002. "The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 863-871.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:12:p:863-871
    DOI: 10.1080/09603100110052172
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    Cited by:

    1. Elda du Toit & John Henry Hall & Rudra Prakash Pradhan, 2018. "The day-of-the-week effect: South African stock market indices," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 9(2), pages 197-212, June.
    2. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    3. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
    4. George Marrett & Andrew Worthington, 2009. "An empirical note on the holiday effect in the Australian stock market, 1996-2006," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1769-1772.
    5. Ali Akyol, 2011. "Stock returns around nontrading periods: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 21(20), pages 1549-1560.
    6. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.

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