Calendar anomalies - Evidence from the Nairobi Securities Exchange
Date
2014
Authors
Kiptanui, Peter Kipchirchir
Journal Title
Journal ISSN
Volume Title
Publisher
Strathmore University
Abstract
Calendar anomalies are a phenomenon that seem to suggest that financial securities such as stocks, bonds and even derivatives, experience patterns of returns that coincide with particular points in the week, month or year. Previous studies have suggested that these effects are unique to certain markets and even within those geographical markets, are specific to certain financial products. The reason that calendar effects are considered of particular interest to researchers is twofold: first, they disprove traditional theories that support the existence of efficient markets and second, they offer insight to those who wish to take advantage of arbitrage opportunities to make a profit. The goal of this research thesis was to check the Nairobi Securities Exchange for calendar anomalies. In the event that they exist, the paper is meant to proceed and describe the magnitude of these effects. Should there not have been any effects. This research thesis intended to provide evidence to support that position. This evidence would enable scholars, policy makers and investors aware of what market they are operating in with regard to calendar anomalies.
The specific calendar anomalies tested were the day of the week effect and the month of the year effect. These effects were tested in the NSE 20 index and the individual stocks of the Nairobi securities exchange.
The results find very slight and diminishing effects in the index. Higher returns were noted in January and Friday going on to Monday. In the individual stocks, Friday was noted as the day with the highest return. However, the anomaly in individual stocks is recorded at very low levels; are as such were not significant to alter a rational investor's decision.
Description
Submitted in partial fulfillment of the requirements for the Degree of Master of Commerce at Strathmore University
Keywords
Calendar, Nairobi Securities Exchange, Anomalies