DAY OF THE WEEK EFFECTS ON THE MAURITIAN DEVELOPMENT ENTERPRISE MARKET (DEM)
DAY OF THE WEEK EFFECTS ON THE MAURITIAN DEVELOPMENT ENTERPRISE MARKET (DEM)
Author(s): Subadar Agathee UshadSubject(s): Economy
Published by: Reprograph
Keywords: day of the week effects; stock market anomalies; African emerging stock markets; efficient market hypothesis; DEMDEX
Summary/Abstract: This paper attempts to examine the day of the week effects on the Development and Enterprise market (DEM) on the Stock Exchange of Mauritius. Using observations as from the year the DEM started its operation, i.e 2006 to 2009, the study reveals the presence of a Friday effect. The returns are jointly statistically different across the days of the weeks but not for the years. Given that the DEM is still in its infancy stage, the study is a first formal attempt to assess this calendar anomaly.
Journal: Journal of Applied Research in Finance (JARF)
- Issue Year: I/2009
- Issue No: 02
- Page Range: 237-243
- Page Count: 7
- Language: English
