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

Mbululu, Douglas (2010) Day-of-the-week effect : evidence from nine sectors of the South African stock market. Masters thesis, Rhodes University.

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Abstract

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

Item Type:Thesis (Masters)
Uncontrolled Keywords:Day of the week effect, Stock exchange, Stock market, South Africa
Subjects:H Social Sciences > HC Economic History and Conditions
Divisions:Faculty > Faculty of Commerce > Economics and Economic History
ID Code:2576
Deposited By: Mrs Carol Perold
Deposited On:10 Apr 2012 08:09
Last Modified:10 Apr 2012 08:09
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