Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling

Asian Economic and Financial Review

article

Daniel Agyapong¹  Theophilus Sakyiamah Atuah²  Anthony Asare- Adu Idun¹ 

[1] Associate Professor in Finance and Entrepreneurship, School of Business, University of Cape Coast;University of Cape Coast

关键词: Calendar effect;    Market returns;    DOLS;    GARCH;    Listed firms;    Ghana stock exchange.;   

DOI  :  10.18488/journal.aefr.2020.108.920.935

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This study investigated the existence of a day-of-the-week, January, and turn-of-the-month effects on the stock returns from the financial institutions and manufacturing companies listed on the Ghana Stock Exchange. Daily stock-price data, sourced from the Ghana Stock Exchange website, and accounting data for shareholder/net tangible asset value, sourced from audited financial statements of listed firms, was collected and analyzed with Fama and French’s three-factor model and dynamic ordinary least square regression. In addition, a time-varying effect was examined with the generalized autoregressive conditional heteroskedasticity model. No evidence was found for day-of-the-week, January, or turn-of-the-month effects in the manufacturing sector; however, effects from day of the week and January were found to exist in the financial sector. With regard to time-varying, neither sector showed evidence of conditional volatility.

【 授权许可】

CC BY