Stock market anomalies in South Africa and its neighbouring countries

Chia, Ricky Chee Jiun and Ye, Lim Shiok (2011) Stock market anomalies in South Africa and its neighbouring countries. Economics Bulletin, 31 (4). pp. 3123-3137. ISSN 1545-2921

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Abstract

This study adopted the alternative approach called closure test principle which is proposed by Alt et al. (2011) to examine the stock market anomalies in South Africa and its Neighbouring Countries. Overall, Egypt is the only country that has a strong Monday effect. On the other hand, weak Monday effect is found in Mauritius, Nigeria and Tunisia stock markets. When the time-varying volatility in the market returns is taken into account by the EGARCH -M model, strong Monday volatility is found in Egypt while Kenya and Nigeria is found to have weak Monday volatility.

Item Type:	Article
Keyword:	Stock market, South Africa
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Department:	SCHOOL > Labuan School of International Business and Finance
Depositing User:	ADMIN ADMIN
Date Deposited:	10 May 2012 17:05
Last Modified:	31 Aug 2021 11:24
URI:	https://eprints.ums.edu.my/id/eprint/4117

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