Panel Analysis of Calendar Anomalies in the South African Stock Market

Batsirai Winmore Mazviona (), Gisele Mah () and Ireen Choga ()
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Batsirai Winmore Mazviona: North West University
Gisele Mah: North West University
Ireen Choga: North West University

Acta Universitatis Danubius. OEconomica, 2021, issue 17(3), 250-273

Abstract: 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, postholiday 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.

Keywords: Equity; day of the week; turn of the month; holiday; January (search for similar items in EconPapers)
Date: 2021
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