Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets

Obalade Adefemi A. () and Muzindutsi Paul-Francois ()
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Obalade Adefemi A.: School of Accounting, Economics & Finance, University of KwaZulu-Natal, South Africa
Muzindutsi Paul-Francois: School of Accounting, Economics & Finance, University of KwaZulu-Natal, South Africa

Journal of Management and Business Administration. Central Europe, 2019, vol. 27, issue 4, 71-94

Abstract: Purpose: This paper examines the changing behavior of two calendar anomalies in African stock returns – the month-of-the-year and the intra-month effects – and their implications for the adaptive market hypothesis (AMH).

Keywords: calendar effect; intra-month; AMH; African stock markets; Markov switching model (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:jmbace:v:27:y:2019:i:4:p:71-94:n:1

DOI: 10.7206/cemj.2658-0845.10

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