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2013•Research Journal of Finance and AccountingRequires access

Stock Market Anomalies: A Study of Seasonal Effects on Average Returns of Nairobi Securities Exchange

Allan Muchemi Kuria, George Kamau Riro

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Abstract

This paper examines the presence of day of the week effect anomaly in Nairobi Securities Exchange (NSE). Several hypotheses have been formulated; t-test, F-test and the ANOVA analysis model were used in the study. The study examined three types of anomalies namely, day of the week effect, weekend effect and monthly effect. The analysis provides evidence about the presence of the seasonal effect in the NSE. Thus it was established that the stock markets in Kenya are not yet free from seasonal anomalies despite increased use of information technology and numerous regulatory developments. Keywords: Seasonal anomalies, Day of the week effect, Weekend effect, Monthly effect

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What this paper is about

This paper examines the presence of day of the week effect anomaly in Nairobi Securities Exchange (NSE). Several hypotheses have been formulated; t-test, F-test and the ANOVA analysis model were used in the study. The study examined three types of anomalies namely, day of the week effect, weekend effect and monthly effect. The analysis provides evidence about the presence of the seasonal effect in the NSE. Thus it was established that the stock markets in Kenya are not yet free from seasonal anomalies despite increased use of information technology and numerous regulatory developments. Keywords: Seasonal anomalies, Day of the week effect, Weekend effect, Monthly effect

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OpenAlex reports 24 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This paper examines the presence of day of the week effect anomaly in Nairobi Securities Exchange (NSE). Several hypotheses have been formulated; t-test, F-test and the ANOVA analysis model were used in the study. The study examined three types of anomalies namely, day of the week effect, weekend effect and monthly effect. The analysis provides evidence about the presence of the seasonal effect in the NSE. Thus it was established that the stock markets in Kenya are not yet free from seasonal anomalies despite increased use of information technology and numerous regulatory developments. Keywords: Seasonal anomalies, Day of the week effect, Weekend effect, Monthly effect

Key concepts: Weekend effect, Names of the days of the week, Efficient-market hypothesis, Stock exchange, Anomaly (physics), Stock (firearms), January effect, Stock market

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