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Month-of-the-year and pre-holiday seasonality in African stock markets

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  • Alagidede, Paul

Abstract

Seasonal anomalies (calendar effects) may be loosely referred to as the tendency for financial asset returns to display systematic patterns at certain times of the day, week, month or year. Two popular calendar effects are investigated for African stock returns: the month-of-the-year and the pre-holiday effects, and their implication for stock market efficiency. We extend the traditional approach of modelling anomalies using OLS regressions and, examine both the mean and conditional variance. We find high and significant returns in days preceding a public holiday for South Africa, but this finding is not applicable to the other stock markets in our sample. Our results also indicate that the month-of-the-year effect is prevalent in African stock returns. However, due to liquidity and round trip transactions cost the anomalies uncovered may not necessarily violate the no-arbitrage condition. Finally we discuss promising areas for future research using developing stock markets data.

Suggested Citation

  • Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.
    • Handle: RePEc:stl:stledp:2008-23
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    File URL: http://hdl.handle.net/1893/523
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    1. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
    2. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    3. Tom JACOB & LITTLEFLOWER P. J, 2022. "Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(633), W), pages 133-146, Winter.

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    Keywords

    Calendar effects; African stock markets; month of the year and pre-holiday effects;
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