Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259213 
Year of Publication: 
2019
Citation: 
[Journal:] Comparative Economic Research. Central and Eastern Europe [ISSN:] 2082-6737 [Volume:] 22 [Issue:] 3 [Publisher:] De Gruyter [Place:] Warsaw [Year:] 2019 [Pages:] 145-162
Publisher: 
De Gruyter, Warsaw
Abstract: 
In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market. A Markov Switching Model (MSM) was employed as the analytical technique. The results show that the DOW effect appears in one regime and disappears in another, in all markets, as rooted in the AMH. Lastly, all markets, except the Johannesburg Stock Exchange have a higher tendency to be in a bearish state than a bullish one. Our findings show that active investment management may yield profits for investors investing in most African markets during bearish conditions.
Subjects: 
calendar effect
AMH
African stock markets
Markov Switching Model
JEL: 
G10
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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