Calendar Anomalies in the Kenyan Stock Exchange
Author(s):
Xing Lu, Hong Zhuang, Jun Wang, Samuel Mbugua
and Hunter Holzhauer
Article history:
Received: 8 April, 2022
Accepted: 19 November, 2023
Abstract:
This research investigates two major calendar anomalies, the day of the week effect and the holiday effect, in the Nairobi Stock Exchange (NSE), a leading African exchange. By studying eight of the exchange’s most representative stock indices over a twenty-year period from 2000 to 2019, this research is the first to test and compare the presence of major calendar anomalies on the NSE before and after the 2008 financial crisis. The findings suggest that there is a significant and negative return on Mondays, while a positive return is observed on Fridays. More importantly, these patterns emerged only after the occurrence of the 2008 financial crisis. In addition, we find a strong and positive pre-holiday return effect for large cap stocks with high levels of liquidity. The increasing significance of both anomalies during the post-crisis era aligns with the ongoing trend of growing foreign capital inflows from the UK and other European nations into Kenya since 2008. Our results shed some light on the degree of market efficiency in one of the major emerging capital markets in Africa, and its increasingly close relationship with the global capital market.
Keywords:
Day of the Week Effect, Holiday Effect, Nairobi Securities Exchange, Financial Crisis
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