Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies

Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies AbstractIt is widely acknowledged that having efficient financial markets is paramount in the allocation of social resources to their most productive uses. This paper explores the informational efficiency of six of the most important African stock markets for indication of seasonal predictability in stock returns. The results reveal that all markets exhibited some kind of seasonal patterns. The prevalence of the phenomenon was higher in the Egyptian and Tunisian markets, suggesting the presence of inefficient prices. Surprisingly, the only advanced emerging market of the sample (South Africa) showed a relatively large number of anomalies. This paper also reports the existence of strong pre-holiday effects and turn-of-the-month effects in most of the markets under scrutiny. Moreover, this study is the first to document the presence of quarterly effects in African markets. Collectively, the evidence obtained highlights the opportunity for arbitrageurs to reap profits as well as the need of decision-makers to implement legal and regulatory reforms in the markets of the continent. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Scientific Annals of Economics and Business de Gruyter

Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies

Scientific Annals of Economics and Business , Volume 65 (3): 19 – Sep 1, 2018

Loading next page...
 
/lp/de-gruyter/are-african-stock-markets-inefficient-new-evidence-on-seasonal-IUdOGo4VzW
Publisher
de Gruyter
Copyright
© 2018 Júlio Lobão, published by Sciendo
eISSN
2501-3165
DOI
10.2478/saeb-2018-0023
Publisher site
See Article on Publisher Site

Abstract

AbstractIt is widely acknowledged that having efficient financial markets is paramount in the allocation of social resources to their most productive uses. This paper explores the informational efficiency of six of the most important African stock markets for indication of seasonal predictability in stock returns. The results reveal that all markets exhibited some kind of seasonal patterns. The prevalence of the phenomenon was higher in the Egyptian and Tunisian markets, suggesting the presence of inefficient prices. Surprisingly, the only advanced emerging market of the sample (South Africa) showed a relatively large number of anomalies. This paper also reports the existence of strong pre-holiday effects and turn-of-the-month effects in most of the markets under scrutiny. Moreover, this study is the first to document the presence of quarterly effects in African markets. Collectively, the evidence obtained highlights the opportunity for arbitrageurs to reap profits as well as the need of decision-makers to implement legal and regulatory reforms in the markets of the continent.

Journal

Scientific Annals of Economics and Businessde Gruyter

Published: Sep 1, 2018

There are no references for this article.