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• W2099944263 abstract "This study investigates the day of the week effect and the January effect on the Stock Exchange of Mauritius (SEM). Positive and statistically significant Wednesday and Friday effects are observed. Surprisingly we also find a positive and significant Monday effect but smaller in magnitude. The extra returns may not seem to be economically significant, but when analysed on a yearly basis, they adequately compensate for market frictions, ranging from 3.83 to 4.65 per cent. When the size effect and the book-to- market equity effect are controlled for, only the Friday effect remains statistically significant. There is no January effect on the SEM. We find a significant positive September effect at market level (with an extra return of around 6 per cent) and even when using the Fama and French model as a benchmark, providing an extra return of 5.2 per cent. Most of the companies in the sample release their audited accounts in September." @default.
• W2099944263 created "2016-06-24" @default.
• W2099944263 creator A5077242528 @default.
• W2099944263 date "2008-01-01" @default.
• W2099944263 modified "2023-09-22" @default.
• W2099944263 title "AN ANALYSIS OF THE DAY OF THE WEEK EFFECT AND THE JANUARY EFFECT ON THE STOCK EXCHANGE OF MAURITIUS" @default.
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• W2099944263 hasPublicationYear "2008" @default.
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