Efekat dana u nedelji na južnoafričkom tržištu akcija - a garch analysis

Abstract

Understanding dynamics of daily stock returns provide insight in trading opportunities available in stock markets. The purpose of the study was to examine whether day of the week effect exists in the South African equity market. Daily data from Top 40, All Shares, Basic Materials, Industrials, Consumer Goods, Health Care, Consumer Services, Telecommunications, Financials and Technology indices were collected for period 1995 to 2018. Exponential and threshold generalized auto regressive conditional heteroskedasticity models were employed to analyse day of the week anomaly. Findings of the day of the week for the mean equation revealed a positive Monday effect for aggregate indices namely Top 40 and All shares whilst the sectorial analysis showed a positive Monday effect for Basic materials, Consumer goods, Health care and Telecommunication. Furthermore, the mean equation for day of the week depicted a positive Tuesday effect for Financials sector, positive Wednesday effect for Consumer services sector and Thursday effect for Industrials and Technology sectors. The variance equation highlighted negative Monday effect for Top 40 and All shares as well as Basic materials, Consumer goods, Health care, Consumer services, Telecommunication and Financials sectors. However, Industrials sector indicated a negative Friday effect. The existence of day of the week effect nullifies the efficient market hypothesis in its weak form. In practice, it is recommended that for Mondays investors should invest in Top 40 and All shares, for Tuesday and Wednesday it would be prudent for investors to invest in Financial and Consumer services sectors respectively. Returns for Thursdays are attractive to an investor investing in the Industrial sector. An investor can reduce exposure by diversifying in the Health sector on Monday and in the by Industrial sector on Friday. Unlike previous studies that focussed on aggregate market indices, this study extended the analysis to sectors that constitute the market index.