South African Journal of Economic and Management Sciences
On-line version ISSN 1015-8812
ALAGIDEDE, Paul. Month of the year and pre-holiday effects in African Stock Markets. S. Afr. j. econ. manag. sci. [online]. 2013, vol.16, n.1, pp. 64-74. ISSN 1015-8812.
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.
Keywords : calendar effects; African stock markets; month of the year and pre-holiday effects.