1887

n South African Journal of Business Management - Seasonal effects : evidence from emerging African stock markets

Volume 37, Issue 3
  • ISSN : 2078-5585

Abstract

The paper investigates seasonal effects in seventeen indices on nine African stock markets using regression analysis and the Kruskal-Wallis and Chi-square Median tests. Significant seasonal effects are found on some, but not all indices. The strongest effect observed is the month-of-the-year effect followed by the day-of-the-week effect. The West African Regional stock Exchange (BRVM) exhibited a reversed 'December decline - January rise' pattern, while the turn-of-themonth effect observed for Egypt disappeared after the turn-of-the-year effect was removed. Using the Kruskal-Wallis test, no seasonal effects for Namibia were found. For the other markets, at least one seasonal effect was observed, suggesting some exploitable trading opportunities.

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/content/busman/37/3/EJC22314
2006-09-01
2019-10-20

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