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dc.contributor.authorAlagidede, Paul-
dc.description.abstractSeasonal 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.en_UK
dc.relationAlagidede P (2008) Month-of-the-year and pre-holiday seasonality in African stock markets. Stirling Economics Discussion Paper, 2008-23.-
dc.relation.ispartofseriesStirling Economics Discussion Paper, 2008-23-
dc.subjectCalendar effectsen_UK
dc.subjectAfrican stock marketsen_UK
dc.subjectmonth of the year and pre-holiday effectsen_UK
dc.titleMonth-of-the-year and pre-holiday seasonality in African stock marketsen_UK
dc.typeWorking or Discussion Paperen_UK
dc.type.statusAuthor Version-
Appears in Collections:Economics Working Papers

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