The day-of-the-week effect in share prices is one of the most extensively researched anomalies, especially in developed markets. However, emerging African stock markets have received little attention in this regard. This study breaks new ground in using non-parametric tests directly on skewness and kurtosis to examine whether the day-of-he-week effect exists in nine listed stock market sector indices of the JSE Securities Exchange of South Africa (JSE). Different day-of-the-week effects were found to be present in the statistical moments of returns of these nine JSE sectors
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:rhodes/vital:1024 |
| Date | January 2010 |
| Creators | Mbululu, Douglas |
| Publisher | Rhodes University, Faculty of Commerce, Economics and Economic History |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis, Masters, MCom |
| Format | 62 p., pdf |
| Rights | Mbululu, Douglas |
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