Day-of-the-week effect : evidence from nine sectors of the South African stock market

Title: Day-of-the-week effect : evidence from nine sectors of the South African stock market
Creator: Mbululu, Douglas
ThesisAdvisor: Seedat, Ebrahim
Subject: Stock exchanges -- South Africa
Subject: Johannesburg Stock Exchange
Subject: Stocks -- Prices -- South Africa
Date: 2010
Type: Thesis
Type: Masters
Type: MCom
Identifier: vital:1024
Identifier: http://hdl.handle.net/10962/d1002759
Identifier: Stock exchanges -- South Africa
Identifier: Johannesburg Stock Exchange
Identifier: Stocks -- Prices -- South Africa
Description: The day-of-the-week effect in share prices is one of the most extensively researched anomalies, especially in developed markets. However, emerging African stock markets have received little attention in this regard. This study breaks new ground in using non-parametric tests directly on skewness and kurtosis to examine whether the day-of-he-week effect exists in nine listed stock market sector indices of the JSE Securities Exchange of South Africa (JSE). Different day-of-the-week effects were found to be present in the statistical moments of returns of these nine JSE sectors
Format: 62 p., pdf
Publisher: Rhodes University, Faculty of Commerce, Economics and Economic History
Language: English
Rights: Mbululu, Douglas

Collections

RU Department of Economics and Economic History

		Thumbnail	File	Description	Size	Format
View Details Download			SOURCEPDF	PDF	464 KB	Adobe Acrobat PDF	View Details Download