Show simple item record

dc.contributor.authorObalade, Adefemi A.
dc.contributor.authorMuzindutsi, Paul Francois
dc.description.abstractIn 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.en_GB
dc.description.abstractW oparciu o hipotezę rynku adaptacyjnego, w niniejszym opracowaniu zbadano, w jaki sposób efekt dnia tygodnia działa w fazie bessy i hossy na afrykańskich rynkach akcji oraz określono prawdopodobieństwo bycia w fazie bessy i hossy na każdym z tych rynków. Jako technikę analityczną przyjęto model przełącznikowy Markowa. Wyniki pokazują, że na wszystkich rynkach efekt dnia tygodnia pojawia się w jednej fazie i znika w drugiej, zgodnie z hipotezą rynku adaptacyjnego. Wreszcie, wszystkie rynki, z wyjątkiem giełdy w Johannesburgu, mają wyższą tendencję do bycia w fazie bessy niż hossy. Nasze ustalenia pokazują, że aktywne zarządzanie inwestycjami może przynosić zyski inwestorom inwestującym na większości rynków afrykańskich w fazie bessy.pl_PL
dc.publisherWydawnictwo Uniwersytetu Łódzkiegoen_GB
dc.relation.ispartofseriesComparative Economic Research. Central and Eastern Europe; 3
dc.rightsThis work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.en_GB
dc.subjectcalendar effecten_GB
dc.subjectAfrican stock marketsen_GB
dc.subjectMarkov Switching Modelen_GB
dc.subjectefekt kalendarzapl_PL
dc.subjecthipoteza rynku adaptacyjnegopl_PL
dc.subjectafrykańskie rynki akcjipl_PL
dc.subjectmodel przełącznikowy Markowapl_PL
dc.titleThe Adaptive Market Hypothesis and the Day‑of‑the‑Week Effect in African Stock Markets: the Markov Switching Modelen_GB
dc.title.alternativeHipoteza rynku adaptacyjnego i efekt dnia tygodnia na giełdach afrykańskich: model przełącznikowy Markowapl_PL
dc.contributor.authorAffiliationSchool of Accounting, Economics & Finance, University of KwaZulu‑Natal Durban South Africa, Assistant Lecturer at Ekiti State University, Ado-Ekiti, Nigeria
dc.contributor.authorAffiliationSchool of Accounting Economics & Finance University of KwaZulu‑Natal, Durban, South Africa
dc.identifier.eissn2082-6737, (2016), Africa Equity Market Capitalisation, available at http://www.acm‑ (accessed: 12.10.2017).en_GB
dc.referencesAlagidede, P. (2009), Return Predictability in Africa’s Emerging Equity Markets, “International Review of Financial Analysis”, Vol. 18, No. 1, pp. 1–11.en_GB
dc.referencesAlagidede, P. (2013), Month of the Year and Pre‑Holiday Effects in African Stock Markets, “Sajems”, Vol. 16, No. 1, pp. 64–74.en_GB
dc.referencesAlagidede, P., Panagiotidis, T. (2006), Calendar Anomalies in an Emerging African Market: Evidence From The Ghana Stock Exchange, available at: (accessed: 5.10.2017).en_GB
dc.referencesAtsin, J.A.L., Ocran, M.K. (2015), Calendar effects and market anomalies on the Johannesburg Stock Exchange, https://mpra.ub.uni‑ (accessed: 2.11.2018).en_GB
dc.referencesBhana, N. (1985), The Monday effect on the Johannesburg Stock Exchange, “South African Journal of Business Management”, Vol. 16, No. 1, pp. 7–11.en_GB
dc.referencesBrishan, R. (2012), Calendar Effects on the Nine Economic Sectors of the Johannesburg Stock Exchange (A Master thesis), School of Economic and Business Sciences, University of the Witwatersrand, Johannesburg.en_GB
dc.referencesBrockman, P., Michayluk, D. (1998), The Persistent Holiday Effect: Additional Evidence, “Applied Economic Letters”, Vol. 5, pp. 205–209.en_GB
dc.referencesBrooks, C. (2014), Introductory Econometrics for Finance (2nd Ed.), New York: Cambridge University Press.en_GB
dc.referencesBundoo, S.K. (2011), An Analysis of Stock Market Anomalies and Momentum Strategies on the Stock Exchange of Mauritius, “AERC Research Paper”, Vol. 227, No. 1, pp. 1–48.en_GB
dc.referencesChukwuogor, C. (2007), An econometric analysis of African Stock Market: annual returns analysis, day‑of‑the‑week effect and volatility of returns, “African Journal of Accounting, Economics, Finance and Banking Research”, Vol. 1, No. 1, p. 26.en_GB
dc.referencesDiebold, F.X., Lee, J., Gretchen, C.W. (1994), Regime Switching with Time Varying Transition Probabilities, [in:] Hargreaves, C. (ed.), Nonstationary Time Series Analysis and Cointegration, Oxford: Oxford University Press, pp. 283–302.en_GB
dc.referencesDragan, T., Martin, M., Igor, S. (2012), The Day of the Week Effect in South Eastern Europe Stock Markets, “Annals of the „Constantin Brancuşi” University of Targu Jiu, Economy Series”, Vol. 3, pp. 20–24.en_GB
dc.referencesFama, E.F. (1965), The Behaviour of Stock Prices, “Journal of Business”, Vol. 37, No. 1, pp. 34–105.en_GB
dc.referencesFama, E.F. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, “Journal of Finance”, Vol. 25, No. 2, pp. 383–417.en_GB
dc.referencesFilardo, A.J. (1994), Business‑Cycle Phases and Their Transitional Dynamics, ”Journal of Business & Economic Statistics,” 12, pp. 299–308.en_GB
dc.referencesFrench, K. (1980), Stock Returns and the Weekend Effect, “Journal of Financial Economics”, Vol. 8, pp. 55–69.en_GB
dc.referencesGibbons, M., Hess, P. (1981), Day of the week effects and asset returns, “The Journal of Business”, pp. 579–96.en_GB
dc.referencesGoedhart, M., Koller, T., Wessels, D. (2005), Do fundamentals–or emotions–drive the stock market?, available at (accessed: 12.10.2017).en_GB
dc.referencesHakan, B., Halil, KI. (2001), The Day of the Week Effect on Stock Market Volatility, “Journal of Economics and Finance”, Vol. 25, No. 2, pp. 181–193.en_GB
dc.referencesHamilton, J.D. (1989), A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, ”Econometrica”, Vol. 57, pp. 357–384.en_GB
dc.referencesHansen, P.R., Lunde, A. (2003), Testing the Significance of Calendar Effects, “Working Paper”, Vol. 3, No. 3, pp. 1–39.en_GB
dc.referencesHassan, R., Syed, A.S., Asad Saleem, M. (2015), Day of the Week Anomaly and Market Efficiency: Evidence from KSE‑Pakistan, “International Journal of Business and Social Science”, Vol. 6, No. 9, pp. 69–75.en_GB
dc.referencesHelena, N. (2009), A Multifactor Approach in Understanding Asset Pricing Anomalies: An empirical study of the factor model in the Budapest Stock Market (Unpublished).en_GB
dc.referencesJulio, C.A.C., Beatriz, E.G.C. (2013), The Day‑of‑the‑Week Effect: The CIVETS Stock Markets Case, “Journal of Applied Business and Economics”, Vol. 15, No. 3, pp. 102–116.en_GB
dc.referencesLakanishok, J., Levi, R. (1982), Weekend Effects in Stock Returns: A Note, “Journal of Finance”, Vol. 37, pp. 883–89.en_GB
dc.referencesLakonishok, J., Smidt, S. (1988), Are Seasonal Anomalies Real? A Ninety‑year Perspective, “Review of Financial Studies”, Vol. 1, No. 4, pp. 403–425.en_GB
dc.referencesLei, G., Gerhard, K. (2005), Calendar Effects in Chinese Stock Market, “Annals of Economics and Finance”, Vol. 6, No. 5, pp. 75–88.en_GB
dc.referencesLim, S.Y., Ho, C.M., Dollery, B. (2007), Stock Market Calendar Anomalies: The case of Malaysia, available at: .–2007–5.pdf (accessed: 15.10.2017).en_GB
dc.referencesLo, A.W. (2004), The adaptive markets hypothesis: market efficiency from an evolutionary perspective, available at SSRN: (accessed: 31.08.2017).en_GB
dc.referencesLo, A.W. (2005), Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis, “Journal of Investment Consulting”, Vol. 7, No. 2, pp. 21–44.en_GB
dc.referencesLo, A.W. (2012), Adaptive Markets and the New World Order, “Financial Analysts Journal”, Vol. 68, No. 2, pp. 18–29.en_GB
dc.referencesLo, A.W., Blume, L., Durlauf, S. (2007), The New Palgrave: A Dictionary of Economics (Second Edition), New York, Palgrave McMillan.en_GB
dc.referencesLukas, M. (2009), Stock Market Seasonality: Day of The Week Effect and January Effect. (Thesis).en_GB
dc.referencesLukas, J. (2012), Analysis of stock market anomalies: US cross‑sectoral comparison (Bachelor thesis), Charles University in Prague, Faculty of social sciences, Institute of economic studies.en_GB
dc.referencesMagnus, K. (2008), Seasonal Anomalies in the Swedish Stock Market from an Industry Perspective. Department of Economics, Lund University, Sweden.en_GB
dc.referencesMerrett, G.J., Worthington, A.C. (2006), An empirical note on the holiday effect in the Australian stock market, 1996–2006, School of Accounting and Finance, University of Wollongong, Wollongong 7 (11), pp. 1–10.en_GB
dc.referencesMartin, S. (2011), Characterization of Financial Time Series, “Research Note”, Vol. 11, No. 1, pp. 1–35.en_GB
dc.referencesOsazevbaru, H.O., Oboreh, J. (2014), The “Monday Effect” in Nigerian Stock Market: Evidence and Implication, “Journal of Social Sciences and Public Policy”, Vol. 6, No. 1, pp. 1–8.en_GB
dc.referencesPandey, F., Samanta, A. (2016), An Empirical Analysis of January Effect–Evidence from Indian Market, “International Journal of Innovative Research and Development”, Vol. 5, No. 7, pp. 187–197.en_GB
dc.referencesRich, S. (2018), Calendar Effects on the Johannesburg Stock Exchange: A Markov Switching Approach (M.Sc. Thesis), Gordon Institute of Business Science, University of Pretoria.en_GB
dc.referencesRossi, M. (2007), Calendar anomalies in stock returns: Evidence from South America. (Bachelors’ thesis), Lappeenranta University of Technology Department of Business Administration Section of Finance.en_GB
dc.referencesRystrom, D.S., Benson, E.D. (1989), Investor Psychology and the Day‑of‑the‑week Effect, “Financial Analysts Journal”, Vol. 45, No. 5, pp. 75–78.en_GB
dc.referencesShakeel, K., Douglas, M., Chimwemwe, C. (2013), Changing Patterns in The Day‑Of‑The‑Week Effects in African Stock Markets, “International Business & Economics Research Journal”, Vol. 12, No. 10, pp. 1157–1174.en_GB
dc.referencesShiok, Y.L., Chong, M.H., Brian, D. (2007), Stock Market Calendar Anomalies: The Case of Malaysia, (accessed: 6.10.2017).en_GB
dc.referencesThaler, R.H. (1999), The End of Behavioural Finance, “Financial Analyst Journal”, Vol. 55, No. 6, pp. 12–17.en_GB
dc.referencesToit, E. Du, Hall, J.H., Pradhan, R.P. (2018). The day‑of‑the‑week effect: South African stock market indices, “African Journal of Economic and Management Studies”, Vol. 9, No. 2, pp. 197–212.en_GB
dc.referencesUmar, B.N. (2013), The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa, Munich Personal RePEc Archive. Online at http://mpra.ub.uni‑ (accessed: 8.02.2018).en_GB
dc.referencesUrquhart, A., McGroarty, F. (2014), Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long‑run U.S. data, “International Review of Financial Analysis”, Vol. 35, pp. 154–166.en_GB
dc.referencesVergin, R.C., Mcginnis, J. (1999), Revisiting the holiday effect: Is it on holiday?, “Applied Financial Economics”, Vol. 9, No. 5, pp. 477–482.en_GB
dc.referencesWing‑Keung, W., Aman A., Nee‑Tat, W. (2006), The Disappearing Calendar Anomalies in the Singapore Stock Market, “Lahore Journal of Economics, Department of Economics”, The Lahore School of Economics, Vol. 11, No. 2, pp. 123–139.en_GB

Files in this item


This item appears in the following Collection(s)

Show simple item record

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Except where otherwise noted, this item's license is described as This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.