Day of the week effect on stock returns and volatility in emerging and frontier markets in Africa

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dc.contributor.authorMbonoka, Faith Mbula
dc.date.accessioned2022-06-13T08:15:47Z
dc.date.available2022-06-13T08:15:47Z
dc.date.issued2021
dc.descriptionResearch thesis submitted to Strathmore University in fulfillment of the requirements for the Master of Science in Mathematical Financeen_US
dc.description.abstractThe study examines the day of the week effect on average stock returns and compares the daily price volatilities in emerging and frontier markets in Africa. The study focuses on eight key stock markets in Africa’s emerging and frontier markets of Nigeria, Botswana, Egypt, Tunisia, South Africa, Kenya, Mauritius and Morocco for the period May 11th, 2018 to May 12th, 2021. Average stock returns generated from daily closing price indices are regressed against a measure of volatility while controlling for trading day effect. From the findings based on a static panel data regression analysis, there is a Monday effect evident across both the emerging and frontier markets. In addition, there is also evident statistically significant differences in the volatility patterns across the days of the week in the emerging and frontier markets. In particular, Thursday records the highest average volatility and Monday the least in the emerging markets, while Friday and Tuesday show the highest and lowest volatilities in the frontier markets respectively. The research findings contribute to empirical literature on risk-return analyses generating useful insights for investment decision making. Based on these findings, investors will be able to make better investment selections based on return and risk; possibly prompting them to consider day of the week in their trading strategies.en_US
dc.identifier.urihttp://hdl.handle.net/11071/12818
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectDay of the week effecten_US
dc.subjectVolatilityen_US
dc.subjectEmerging marketen_US
dc.subjectFrontier marketen_US
dc.titleDay of the week effect on stock returns and volatility in emerging and frontier markets in Africaen_US
dc.typeThesisen_US
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