| By: |
Paul Alagidede (Loughborough University);
Theodore Panagiotidis (Loughborough University) |
| Abstract: |
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. |
| Keywords: |
Calendar Anomalies, Non-Linearity, Market Efficiency, Asymmetric Volatility, Rolling windows. |
| JEL: |
C22 C52 G10 |
| Date: |
2006–06 |
| URL: |
http://d.repec.org/n?u=RePEc:lbo:lbowps:2006_13&r=afr |