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Calendar anomalies in an emerging African market: evidence from the Ghana Stock Exchange

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posted on 15.06.2006 by Paul Alagidede, Theodore Panagiotidis
This paper investigates two calendar anomalies in an emerging African market. Both the day of the week and month of the year effects are examined for Ghana. The latter is an interesting case because i) it operates for only three days per week during the sample period and ii) the increased focus that African stock markets have received lately both from academics and practitioners. We employ rolling techniques to asses the affects of policy and institutional changes. This allows deviations from the linear paradigm. We finally employ non-linear models from the GARCH family in a rolling framework to investigate the role of asymmetries. Contrary to a January return pattern in most markets, an April effect is found for Ghana. The evidence also shows the presence of the day of the week effects with asymmetric volatility performing better than the benchmark linear estimates. This seasonality though disappears when only the latest information is used (time-varying asymmetric GARCH). Our approach provides a new framework for investigating this well-known puzzle in finance.

History

School

  • Business and Economics

Department

  • Economics

Pages

218357 bytes

Publication date

2006

Notes

This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2006_13.html.

Language

en

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