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Panel Analysis of Calendar Anomalies in the South African Stock Market

Acta Universitatis Danubius. Œconomica, 2021-01, Vol.17 (3), p.250-273 [Peer Reviewed Journal]

2021. This work is published under https://creativecommons.org/licenses/by-nc/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2065-0175 ;EISSN: 2067-340X

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  • Title:
    Panel Analysis of Calendar Anomalies in the South African Stock Market
  • Author: Mazviona, Batsirai Winmore ; Mah, Gisele ; Choga, Ireen
  • Subjects: Business Economy / Management ; Calendars ; Consumer goods ; day of the week ; Efficient markets ; equity ; Health care ; holiday ; Investments ; january ; Money ; Profits ; Securities markets ; Stock exchanges ; Telecommunications ; turn of the month
  • Is Part Of: Acta Universitatis Danubius. Œconomica, 2021-01, Vol.17 (3), p.250-273
  • Description: Calendar anomalies are paramount in explaining stock returns dynamics. This study determines whether day of the week, turn of the month, holiday and January seasonality exists in the South African stock market. The Johannesburg stock exchange indices data comprised of Top 40, All Shares, Basic Materials, Industrials, Consumer Goods, Health Care, Consumer Services, Telecommunications, Financials and Technology covering the period 1995-2018. Pooled panel with Arellano robust standard errors model was employed. The pooled panel model with Arellano robust estimates results for the day of the week revealed positive Monday, turn of the month effect, post holiday and October effects. The study recommends that investors trade on Mondays to earn the highest return during the week. Investors have the potential to earn excess returns when they invest on turn of the month period. For the holiday strategy, investors should trade on the day after the holiday since will entail more profits from the investment. Investors can earn more money through trading in October than in January. The existence of calendar anomalies in the South African equity market invalidates efficient market hypothesis. The novelty of the study lies in the use of sectorial indices in assessment calendar anomalies in a developing stock market.
  • Publisher: Galati: Danubius University Press
  • Language: English;French
  • Identifier: ISSN: 2065-0175
    EISSN: 2067-340X
  • Source: DOAJ : Directory of Open Access Journals
    ROAD
    CEEOL: Open Access
    ProQuest Central
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