Abstract
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.
Subject
General Economics, Econometrics and Finance,General Business, Management and Accounting
Cited by
13 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献