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AN ECONOMETRIC ANALYSIS OF AFRICAN STOCK MARKET: ANNUAL RETURNS ANALYSIS, DAY-OF-THE-WEEK EFFECT AND VOLATILITY OF RETURNS

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Author(s): Chiaku Chukwuogor

Journal: African Journal of Accounting, Economics, Finance and Banking Research
ISSN 1933-3404

Volume: 1;
Issue: 1;
Start page: 26;
Date: 2007;
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Keywords: returns | the-days-of-the-week | volatility | stock markets | Africa | indexes

ABSTRACT
This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of five African stock markets. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. To supplement this analysis, graphical representation of the indexes annual percentage changes was explored and their correlation determined. The results contradict the presence of the-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 1997 and 2004. There was a high positive correlation of market gains and declines among the markets.

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