Original Research

Month of the year and pre-holiday effects in African stock markets

Paul Alagidede
South African Journal of Economic and Management Sciences | Vol 16, No 1 | a246 | DOI: https://doi.org/10.4102/sajems.v16i1.246 | © 2013 Paul Alagidede | This work is licensed under CC Attribution 4.0
Submitted: 29 July 2011 | Published: 26 February 2013

About the author(s)

Paul Alagidede, Rhodes University, South Africa

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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.


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Crossref Citations

1. Changes in the Stocks Prices Behavior Before and After the Public Holidays: Case of Bucharest Stock Exchange
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doi: 10.2139/ssrn.3281937