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.

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Keywords

Day of the Week Effect, Holiday Effect, Nairobi Securities Exchange, Financial Crisis JEL classification: G01, G4, G10, G11. Article history: Received: 8 April, 2022 || Accepted: 19 November, 2023 1. Introduction The Nairobi Securities Exchange (NSE) is a leading African Exchange, based in Kenya. Until the COVID-19 pandemic, Kenya was one of the fastest-growing economies in Africa, with an annual average GDP growth of 5.9% between 2010 and 2018. Kenya has successfully established a diverse and dynamic economy and reached lower-middle income status, and serves, for foreign investors, as the entry point to the larger East-African market. It is well known that the development of financial markets can help innovation and economic growth. Stock exchanges, with their role of efficiently directing the flow of savings and investment in the economy, play a pivotal role in supporting the companies and economies of developing countries.