University of Khartoum

Stock Market Seasonality: Study Of Khartoum Stock Exchange

Stock Market Seasonality: Study Of Khartoum Stock Exchange

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Title: Stock Market Seasonality: Study Of Khartoum Stock Exchange
Author: Mohammed, Haytham Abdelghfar Abdallah
Abstract: This research investigates the seasonal patterns, (the day of the week and month of the year effect) of Khartoum stock Exchange returns as measured by the variability in daily and monthly performance. The research uses Generalized Autoregressive Conditional Heteroscedastic (GARCH) model to study how returns of Khartoum Stock Exchange (KSE) index are statistically different across days of the week and months of the year. This was applied to 2098 observations daily closing values of the market index over the period from 2nd January 2007 to 30th December 2014. The analysis showed that a significant difference existed between returns in days of the week, which indicates the existence of the daily seasonality phenomenon. The maximum and minimum mean returns amounting to 0.05 and 0.02 were found to occur on Thursday and Sunday respectively. Moreover, the results revealed that there is insufficient evidence as to the existence of a significant difference between months in terms of their corresponding returns (with only 5 months being significant). Hence there is no monthly seasonality for Khartoum Stock Exchange during the period of the study. This is not in conformity with results arrived at by different studies addressing mainly financial markets worldwide. That means KSE seems to be informationally inefficient market and therefore, investors cannot take any advantage of information about a single month of the year when taking investment decisions to gain abnormal returns and consequently they should not consider this calendar anomaly when formulating their portfolios. The research recommends undertaking some economic policy measures which take into consideration transparency in disclosing information needed for enhancing market efficiency, as well as shedding lights on different sectors of the market. These can only be achieved by undertaking further research studies in the area which is highly recommended.
URI: http://khartoumspace.uofk.edu/handle/123456789/18901
Date: 2016-02-10


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