Original Research

Seasonal effects: Evidence from emerging African stock markets

C. Mlambo, N. Biekpe
South African Journal of Business Management | Vol 37, No 3 | a606 | DOI: https://doi.org/10.4102/sajbm.v37i3.606 | © 2018 C. Mlambo, N. Biekpe | This work is licensed under CC Attribution 4.0
Submitted: 10 October 2018 | Published: 30 September 2006

About the author(s)

C. Mlambo, Graduate School of Business, University of Stellenbosch, South Africa
N. Biekpe, Africa Centre for Investment Analysis; and Graduate School of Business, University of Stellenbosch, South Africa

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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.

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