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AN ECONOMETRIC ANALYSIS OF AFRICAN STOCK MARKET: ANNUAL RETURNS ANALYSIS, DAY-OF-THE-WEEK EFFECT AND VOLATILITY OF RETURNS.

Chiaku Chukwuogor

Eastern Connecticut State University, USA.

 

ABSTRACT

This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of five African stock markets. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. To supplement this analysis, graphical representation of the indexes annual percentage changes was explored and their correlation determined. The results contradict the presence of the-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 1997 and 2004. There was a high positive correlation of market gains and declines among the markets.

Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness, homoskedasticity

JEL Classification: C32, E32