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Day of the week seasonality in African stock markets

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  • Paul Alagidede

Abstract

This article investigates the day of the week anomaly in Africa's largest stock markets by looking at both the first and second moments of returns. We also incorporate market risk. We do not find day of the week effect in Egypt, Kenya, Morocco and Tunisia. However, there are significant daily seasonality in Zimbabwe, Nigeria and South Africa. Friday average return is found to be consistently higher than other days in Zimbabwe. The Nigerian market tends to display more seasonality in volatility than in expected return. The reverse hold for South Africa. Finally, the anomalies do not disappear even after accounting for risk.

Suggested Citation

  • Paul Alagidede, 2008. "Day of the week seasonality in African stock markets," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 115-120.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:2:p:115-120
    DOI: 10.1080/17446540701537749
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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.

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