Calendar anomalies in an emerging African market: evidence from the Ghana Stock Exchange

This paper investigates two calendar anomalies in an emerging African market. Both the day of the week and month of the year effects are examined for Ghana. The latter is an interesting case because i) it operates for only three days per week during the sample period and ii) the increased focus that...

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Bibliographic Details
Main Authors: Paul Alagidede, Theodore Panagiotidis
Format: Default Preprint
Published: 2006
Subjects:
Other economics not elsewhere classified
Calendar anomalies
Non-linearity
Market efficiency
Asymmetric volatility
Rolling windows
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/2194
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