期刊名称：African Journal of Accounting Economics Finance and Banking Research
印刷版ISSN：1933-3404
电子版ISSN：1933-3463
出版年度：2008
卷号：2
期号：2
页码：20-36
出版社：Global Business Investments and Publications LLC
摘要：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.
关键词：Stock Exchange of Mauritius ; day of the week effect ; January effect
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