Month of the year and pre-holiday effects in African stock markets
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | Month of the year and pre-holiday effects in African stock markets | |
| Creator | Alagidede, Paul | |
| Description | This paper investigates the existence of two anomalies in African stock returns: the month of the year and the pre-holiday effects, and their implications for stock market efficiency. We extend the traditional approach to modelling anomalies and examine the mean and variance of returns. We document high and significant returns in days preceding a holiday in South Africa. Our results indicate that the month of the year effect is prevalent in African stock returns. However, we argue that, owing to illiquidity and round trip transactions costs, the anomalies uncovered do not necessarily violate the no-arbitrage condition. | |
| Publisher | AOSIS Publishing | |
| Date | 2013-02-26 | |
| Identifier | 10.4102/sajems.v16i1.246 | |
| Source | South African Journal of Economic and Management Sciences; Vol 16, No 1 (2013); 64-74 2222-3436 1015-8812 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/246/217
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