Calendar Effects on Stock Market Returns: Evidence from the Stock Exchange of Mauritius

35 Pages Posted: 23 Apr 2010 Last revised: 13 Oct 2010

See all articles by D. Sewraj

D. Sewraj

University of Mauritius - Law & Management

Boopen Seetanah

University of Mauritius

V. Sannasee

RMIT University

U. Soobadur

University of Mauritius - Law & Management

Date Written: April 23, 2010

Abstract

Efficient market stated that stock’s return is indifferent in each trading day. But, the calendar effects phenomenon made a different return in each single day in a week or month. This is an abnormal return which can affect investor in deciding investment strategy, portfolio selection, and profit management. This study investigates the day of the week effect, more precisely the Monday effect and the January effect on the Stock Exchange of Mauritius (SEM) in order to get the information whether these anomalies exist or not. Linear regression model, GARCH and EGARCH models are used to answer our objective. The result shows that Monday effect is nonexistent in SEM. However, we find a significant positive January effect at market level. This study also concludes that volatility shocks are persistent in both daily and monthly returns and moreover, reports the presence of leverage effect in the daily stock returns.

Suggested Citation

Sewraj, D. and Seetanah, Boopen and Sannasee, V. and Soobadur, U., Calendar Effects on Stock Market Returns: Evidence from the Stock Exchange of Mauritius (April 23, 2010). Available at SSRN: https://ssrn.com/abstract=1594871 or http://dx.doi.org/10.2139/ssrn.1594871

D. Sewraj

University of Mauritius - Law & Management

Mauritius

Boopen Seetanah (Contact Author)

University of Mauritius ( email )

Reduit, 80837
Mauritius

V. Sannasee

RMIT University

124 La Trobe Street
Melbourne, 3000
Australia

U. Soobadur

University of Mauritius - Law & Management

Mauritius

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
865
Abstract Views
2,800
rank
29,586
PlumX Metrics