Seasonal effects: Evidence from emerging African stock markets

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-the-month 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.