Calendar effects on stock returns volatility: a case of Dar es Salaam stock exchange

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University of Dar es Salaam
This study investigates calendar effects on stock returns volatility, the case of Dar es Salaam Stock Exchange for the 1998 through 2005 period. The return of market stocks is analyzed using descriptive statistics, serial correlation and unit root. The results show that the day of the week and the month of the year effect are present in return equation only. The highest daily returns occur on Wednesday, and the positive January effect is observed in the market. The annualized and monthly mean returns are positive and statistically significant for TCC only and also stock returns for SWISSPOT, SIMBA RBL and TATEPA are positive, rather they are statistically not significant. The overall market returns are negative and statistically not significant. Findings also show that most listed equities in the market experience strong negative autocorrelation. The overall market is characterized by weak negative autocorrelation, platykurtic and negatively skewed. Using a GARCH (1,1) class of models, the study reveals that the day of the week and month of the year effect in volatility is constant over time. Volatility of stock returns has a constant decaying coefficient value of 0.75 per trading period. The study concludes that, calendar effects impact on the market stocks ruturn due to insignificance of returns. In addition, the shocks to volatility are more persistent and have a slower and constant decaying rate in various trading periods in DSE market.
Available in print form, East Africana Collection, Dr. Wilbert Chagula Library, Class mark (THS EAF HG4577.M86)
Monetary policy, Stocks, Returns, Stock exchange
Mwidege, A.M (2006) Calendar effects on stock returns volatility: a case of Dar es Salaam stock exchange.Master dissertation, University of Dar es Salaam, Dar es Salaam.