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Calendar anomalies in African stock markets

Author

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  • El Mehdi Ferrouhi
  • Omar Kharbouch
  • Samir Aguenaou
  • Muhammad Naeem
  • David McMillan

Abstract

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 9th 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.

Suggested Citation

  • El Mehdi Ferrouhi & Omar Kharbouch & Samir Aguenaou & Muhammad Naeem & David McMillan, 2021. "Calendar anomalies in African stock markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1978639-197, January.
    • Handle: RePEc:taf:oaefxx:v:9:y:2021:i:1:p:1978639
    DOI: 10.1080/23322039.2021.1978639
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    Cited by:

    1. Xianyang Li & Jiayi Xu & Haoxuan Xu & Yunxuan Ma & Yu Zhong & Lei Wang, 2023. "An Empirical Study on the Holiday Effect of China's Time-Honored Companies," Papers 2308.00702, arXiv.org.

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