An Assessment of the holiday anomaly in the Nairobi Securities Exchange
Kamau, John Waweru
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The presence of security market anomalies provide an opportunity that market participants can exploit. Studies done in Kenya have identified the presence of holiday anomaly. Based on these studies, the first objective of the study sought to establish the effect of each of the eight Kenyan holidays to the holiday anomaly. The study used closing share prices which were derived from the NSE website for the period 2010-2015. From the results of the test carried out, the study established that the eight different holidays affected the holiday anomaly differently. The state holidays exhibited higher return than the religious holidays. The study also sought to establish which sectors in the NSE were more prone to the holiday anomaly. A test of equality of mean was carried out to determine whether the mean returns for the different sectors during the holiday were significantly different. The findings of the test conducted indicated that there was no single sector that was more prone to the holiday anomaly than the other. In addition, the study sought to investigate the perception of the trading market participants in regard to market anomaly and specifically to the holiday anomaly. This information was derived from the trading market participants using questionnaires. The findings from the analysis established that majority of the trading market participants had knowledge of security market anomalies though only a few had knowledge of the holiday anomaly. Those who had knowledge of security market anomalies had designed trading strategies that enabled them to earn superior returns. The results of the study contradict the efficient market hypothesis since study has established the holiday anomaly is present. The result of the study also indicate that the eight different Kenyan holidays affect the holiday anomaly differently. The results further indicate that there is no sector in the NSE that is more prone to the holiday anomaly than the other.