The Day of the Week Effect on the
Date
2015-05-15
Authors
Ioffe, Stanislav
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Abstract
This research examines the day-of-the-week effect on the JSE Securities
Exchange for the period from 1995 to 2007. This effect was documented in the
1970s and 1980s. The first democratic election in 1994 left the international
isolation of South Africa behind, and the financial markets opened up to foreign
investors, bringing the possibility that political and economic changes could
impact on market behaviour and anomalies.
Time series of the JSE daily closing prices comprised JSE/Actuaries All Share
Index (Code: CI01) for the period 1st of January, 1995 until 21st of June 2002
and FTSE/JSE All Share Index (Code: J203) for the period 24th of June, 2002
until 31st of December, 2007.
The presence of the day of the week pattern was tested by conducting daily
return mean variance examinations and formal statistical analysis of tradingtime
hypothesis. The latter was implemented by means of regression analysis.
The study shows that the day-of-the-week effect is no longer present on the
JSE Securities Exchange.
The absence of the systematic day-of-the-week pattern suggests that investors
may have improved risk pricing due to higher efficiency of the stock market.
It is not advisable for investors to use any kind of active trading strategy based
on exploiting the previously reported day-of-the-week anomaly
Description
MBA - WBS
Keywords
Day of the week effect, Johannesburg Securities Exchange