Static or Adaptive The month-of-the-year and Intra-month Effects in African Stock Markets

Abstract

We investigated adaptive month-of-the-year (MOY) and intramonth/half-of-the-month (HOM) effects in African stock markets (ASMs) using the daily returns of All Share Indexes in Nigerian stock exchange, Johannesburg Stock Exchange, stock exchange of Mauritius, Casablancan stock exchange and Tunisian stock exchange from 1998:1 to 2018:2. This study employed rolling GARCH models for the purpose of estimations. Our results reveal that the behaviour of MOY and HOM effects are cyclical rather than being persistent. Hence, we proved that the behaviour of MOY and HOM calendar anomalies in ASMs is adaptive as opposed to being static, which is consistent with the adaptive market hypothesis (AMH) as opposed to efficient market hypothesis. Thus, local and international investors should not view ASMs as anomalous in absolute form.