Rowjee, Brishan2014-08-062014-08-062014-08-06http://hdl.handle.net/10539/15125Calendar effects have been extensively researched in developed and emerging markets. Observing a number of these effects in one study is limited, especially in a South African context. This study investigates the day-of-the-week, January and pre-holiday effects in nine listed stock market indices of the Johannesburg Stock Exchange. Applying the most recent sample period and including dividends, two methodologies are employed; a regression analysis and a non-parametric Kolmogorov-Smirnov test, which tests directly on skewness and kurtosis to examine if any calendar effect exists. Monday and Wednesday effects are found to exist in the Health Care (J540) sector and July shows some monthly seasonality in the Consumer Services (J550) sector. These effects persist regardless of which test is employed. No pre-holiday effect is found to exist on any of the indices observed. Consulting both methodologies, there is overwhelming evidence to support the dissipation of calendar effects on the South African stock market. This study also reveals the JSE to be weak-form efficient.enThesis