Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies
It 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 r...
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| Format: | Article |
| Language: | English |
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Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house
2018-09-01
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| Series: | Scientific Annals of Economics and Business |
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| Online Access: | http://www.degruyter.com/view/j/saeb.2018.65.issue-3/saeb-2018-0023/saeb-2018-0023.xml?format=INT |
| _version_ | 1818500954229571584 |
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| author | Lobão Júlio |
| author_facet | Lobão Júlio |
| author_sort | Lobão Júlio |
| collection | DOAJ |
| description | It 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. |
| first_indexed | 2024-12-10T20:49:38Z |
| format | Article |
| id | doaj.art-e952a783baef4eaaa2522460ce61ed77 |
| institution | Directory Open Access Journal |
| issn | 2501-3165 |
| language | English |
| last_indexed | 2024-12-10T20:49:38Z |
| publishDate | 2018-09-01 |
| publisher | Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house |
| record_format | Article |
| series | Scientific Annals of Economics and Business |
| spelling | doaj.art-e952a783baef4eaaa2522460ce61ed772022-12-22T01:34:08ZengEditura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing houseScientific Annals of Economics and Business2501-31652018-09-0165328330110.2478/saeb-2018-0023saeb-2018-0023Are African Stock Markets Inefficient? New Evidence on Seasonal AnomaliesLobão Júlio0School of Economics and Management, University of Porto, PortugalIt 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.degruyter.com/view/j/saeb.2018.65.issue-3/saeb-2018-0023/saeb-2018-0023.xml?format=INTAfricamarket efficiencystock marketsseasonal anomaliesG11G14G15 |
| spellingShingle | Lobão Júlio Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies Scientific Annals of Economics and Business Africa market efficiency stock markets seasonal anomalies G11 G14 G15 |
| title | Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies |
| title_full | Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies |
| title_fullStr | Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies |
| title_full_unstemmed | Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies |
| title_short | Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies |
| title_sort | are african stock markets inefficient new evidence on seasonal anomalies |
| topic | Africa market efficiency stock markets seasonal anomalies G11 G14 G15 |
| url | http://www.degruyter.com/view/j/saeb.2018.65.issue-3/saeb-2018-0023/saeb-2018-0023.xml?format=INT |
| work_keys_str_mv | AT lobaojulio areafricanstockmarketsinefficientnewevidenceonseasonalanomalies |