Calendar anomalies on the Namibian stock exchange: Day of the week and month of the year effects
| dc.contributor.author | Johannes, Meameno Tangeni | |
| dc.date.accessioned | 2018-05-26T14:44:53Z | |
| dc.date.available | 2018-05-26T14:44:53Z | |
| dc.date.issued | 2018 | |
| dc.description | A mini thesis submitted in partial fulfillment of the requirements for the Degree of Master of Science in Economics | en_US |
| dc.description.abstract | This study examines calendar anomalies, specifically day of the week and month of the year effects on the Namibian stock exchange using daily and monthly data from January 4th, 2000 to March 31st, 2017 obtained from the Namibian stock exchange. In an attempt to select a model best fit to account for return and volatility in the Namibian stock market, the symmetric GARCH (1,1) and two other asymmetric models EGARCH(1,1) and TARCH(1,2) models were estimated. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Namibian stock market. GARCH (1,1) and EGARCH(1,1) models reveals that returns on Thursdays are the highest (positive) and significant. Contrary, the TARCH(1,2) model exhibits high and significant mean returns on Tuesdays. Results from the EGARCH(1,1) and TARCH(1,2) models shows that Friday has negative mean daily returns that are significant. The month of the year analysis confirms the subsistence of the month of the year anomaly. Results from the mean equation of the GARCH(1,1), EGARCH(1,1) and TARCH(1,2) models shows that October exhibits the highest returns which are significant, implying an October effect. This implies that stock market returns in October differ significantly with the other months of the year. Also, there is evidence of persistence in shocks to the conditional variance in the NSX overall index. | en_US |
| dc.identifier.uri | http://hdl.handle.net/11070/2264 | |
| dc.language.iso | en | en_US |
| dc.publisher | University of Namibia | en_US |
| dc.subject | Stock exchange | en_US |
| dc.title | Calendar anomalies on the Namibian stock exchange: Day of the week and month of the year effects | en_US |
| dc.type | Thesis | en_US |