Abstract
inancial market players raise a concern about returns volatility anomalies. Yet, the day effects of stock market return instability in the Dar es Salaam financial market are not known. The present study, investigated the day effects on returns using time series data for the years 1998 through 2020. The return of market stocks was analysed using Win Rat and E-views. The results showed that the day of and the month of the year outcome existed in the return equation only with a constant decay rate (α + β= 0.75) meaning that the unpredictability forecast reverts to its unrestricted mean at the proportion of 0.75 per transaction period. Moreover, it was found that the lowest monthly returns spread were observed for TCC and the highest for the whole market while the maximum and nethermost daily returns occurred on Wednesdays and Tuesdays, respectively. Furthermore, it was found that the positive January effect was observed in the market and monthly mean returns were positive with the lowest returns in December. The study concludes that that day’s effects impacted the market stock return caused by the volatility effect on returns. It is therefore recommended that rational investors should invest in the market for their future gains.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: African Journal of Accounting and Social Science Studies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.