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AN ECONOMETRIC ANALYSIS OF AFRICAN STOCK MARKET ANNUAL RETURNS ANALYSIS, DAY-OF-THE-WEEK EFFECT AND VOLATILITY OF RETURNS.

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ABSTRACT

Key words: returns, volatility, standard deviation, anomalies, day-of-the-week effect, kurtosis, skewness, homoskedasticity

JEL Codes: G14, G15

  1. INTRODUCTION

  2. LITERATURE REVIEW

  3. DATA AND METHODOLOGY

  4. EMPIRICAL RESULTS

  1.  Daily Returns Analysis

Table 5

Basic Statistics of Daily Returns of the AFM for the period 1997-2004.

Name of

Country/Index

Monday

Tuesday

Wednesday

Thursday

Friday

Mean

 

 

 

 

 

 

 

 

 

 

  1. The day-of-the-week effect

  2. Annual Returns Analysis

  3. Homoskedasticity

  1. CONCLUSION

REFERENCES

  1. Appiah-Kusi, J. and Menyah, K. (2003) Return predictability in African stock markets Review of Financial Economics, 12 (3), pp. 247
     

  2. Cross, F.  (1973) The behavior of stock price on Fridays and Mondays, Financial Analyst Journal, 29, pp. 67-69.
     

  3. Snedecor, G. W.  and Cochran, W.G. (1976), Statistical Methods. Ames: Iowa State University Press.

           

APPENDIX


 

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