Seasonal Anomalies: Empirical Evidence from Regional Stock Exchange Ivory Coast Securities
Vol. 9 No. 2 (2019), Articles
Vol. 9 No. 2 (2019)

Seasonal Anomalies: Empirical Evidence from Regional Stock Exchange Ivory Coast Securities

https://doi.org/10.18488/journal.1007/2019.9.2/1007.2.38.45
Fatma Wyème Ben Mrad Douagi
Faculty of Economic Sciences and Management, University of Tunis El Manar, Campus Universitaire, B.P. 248 El Manar II 2092, Tunisia
Olfa Chaouachi
Faculty of Economic Sciences and Management, University of Tunis El Manar, Campus Universitaire, B.P. 248 El Manar II 2092, Tunisia
Sow Mory
Faculty of Economic Sciences and Management, University of Tunis El Manar, Campus Universitaire, B.P. 248 El Manar II 2092, Tunisia
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Keywords

The day of the week effect, The month of the year effect, BRVM

How to Cite

Douagi , F. W. B. M. ., Chaouachi, O. ., & Mory, S. . (2019). Seasonal Anomalies: Empirical Evidence from Regional Stock Exchange Ivory Coast Securities. Asian Journal of Empirical Research, 9(2), 38–45. https://doi.org/10.18488/journal.1007/2019.9.2/1007.2.38.45
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Abstract

This paper tries to examine the efficiency of the Regional Stock Exchange in Ivory Coast Securities (BRVM), by testing two seasonal anomalies: the day of the week effect and the month of the year effect. Applying the GARCH models, we found evidence of day of the week and month of the year effects between January 2002 and December 2016. These seasonal anomalies challenge the efficiency of the market hypothesis, proposed by Fama (1970).

https://doi.org/10.18488/journal.1007/2019.9.2/1007.2.38.45
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