The Adaptive Market Hypothesis and the Day‑of‑the‑Week Effect in African Stock Markets: the Markov Switching Model

• Authors: Adefemi A. Obalade , Paul Francois Muzindutsi

Title variants

Hipoteza rynku adaptacyjnego i efekt dnia tygodnia na giełdach afrykańskich: model przełącznikowy Markowa

• Languages of publication: EN

Abstracts

EN

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day‑of‑the‑week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market. A Markov Switching Model (MSM) was employed as the analytical technique. The results show that the DOW effect appears in one regime and disappears in another, in all markets, as rooted in the AMH. Lastly, all markets, except the Johannesburg Stock Exchange have a higher tendency to be in a bearish state than a bullish one. Our findings show that active investment management may yield profits for investors investing in most African markets during bearish conditions.

PL

W oparciu o hipotezę rynku adaptacyjnego, w niniejszym opracowaniu zbadano, w jaki sposób efekt dnia tygodnia działa w fazie bessy i hossy na afrykańskich rynkach akcji oraz określono prawdopodobieństwo bycia w fazie bessy i hossy na każdym z tych rynków. Jako technikę analityczną przyjęto model przełącznikowy Markowa. Wyniki pokazują, że na wszystkich rynkach efekt dnia tygodnia pojawia się w jednej fazie i znika w drugiej, zgodnie z hipotezą rynku adaptacyjnego. Wreszcie, wszystkie rynki, z wyjątkiem giełdy w Johannesburgu, mają wyższą tendencję do bycia w fazie bessy niż hossy. Nasze ustalenia pokazują, że aktywne zarządzanie inwestycjami może przynosić zyski inwestorom inwestującym na większości rynków afrykańskich w fazie bessy.

Keywords

EN

calendar effect; AMH; African stock markets; Markov Switching Model

PL

efekt kalendarza; hipoteza rynku adaptacyjnego; afrykańskie rynki akcji; model przełącznikowy Markowa; efekt kalendarza; hipoteza rynku adaptacyjnego; afrykańskie rynki akcji; model przełącznikowy Markowa

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2019
• Volume: 22
• Issue: 3
• Pages: 145-162

Dates

published

2019-08-19

Contributors

author

Adefemi A. Obalade

• School of Accounting, Economics & Finance, University of KwaZulu‑Natal Durban South Africa, Assistant Lecturer at Ekiti State University, Ado-Ekiti, Nigeria

author

Paul Francois Muzindutsi

• School of Accounting Economics & Finance University of KwaZulu‑Natal, Durban, South Africa

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Identifiers

DOI

10.2478/cer-2019-0028