THE “MONDAY EFFECT” IN NIGERIAN STOCK MARKET: EVIDENCE AND IMPLICATION
1Osazevbaru, H.O. and 2Oboreh, J.
1Department of Accounting & Finance, Delta State University, Abraka, Delta State, Nigeria
2Department of Business Administration, Delta State University, Abraka, Delta State, Nigeria
E-mail: henryosas@yahoo.com
Abstract: The tendency for financial asset returns to display systematic patterns at certain times of the calendar year has not been well discussed in the empirical of African markets. This study addressed the Monday effect in the Nigerian stock market using price data from January, 1995 to December, 2009. The methodological approach involves using OLS regression with dummies. To overcome the misspecification effect that could result from assuming homoscedasticity in OLS, the GARCH model was implemented. It was found that the anomaly exists in the Nigerian stock market. This implies returns predictability which an astute investor can exploit without assuming a commensurate level of risk and capable of accentuating high cost of capital in the market. It is recommended that aggressive trading on different types of securities be encouraged so as to increase the depth of the market.