Econometrics analysis of Weak form efficiency and Calendar effects in Dar es salaam Stock Exchange

Katabi, Maximillian Michael (2015) Econometrics analysis of Weak form efficiency and Calendar effects in Dar es salaam Stock Exchange. Masters thesis, The Open University Of Tanzania.

[img]
Preview
PDF
Download (692kB) | Preview

Abstract

This study examines the empirical evidence for efficient market hypothesis and calendar effects in the Dar es Salaam Stock Exchange (DSE). Specifically, the study investigated the empirical evidence for weak-form efficiency hypothesis, the empirical evidence to suppose the presence of the day of the week effect and the empirical evidence to suppose the presence of month of the year effect. The daily closing market index and monthly closing market index (All share Index-DSEI) were used, covering the sample period from January 2009 to March 2015. To examine the weak-form efficiency hypothesis, the study employed various statistical tests: serial correlation test-The Ljung-Box test, Unit root tests, parametric runs test and the variance ratio test. For investigating the calendar effects, the study used two econometric models: Ordinary Least Square (OLS) regression model and the Generalized Autoregressive Conditional Heteroscedastic - GARCH (1,1) model. The results of all statistical tests employed showed that the Dar es Salaam Stock Exchange (DSE) was a weak form inefficient market for the sample period investigated. Regarding the seasonality in the market, the findings from both OLS regression and GARCH (1,1) indicated the presence of calendar effects in the market. Inefficiency of the market (DSE) general implies that trading strategy such as the technical analysis can be valuable in the market considering other factors. The presence of seasonality in the market implies that the policy makers and regulatory authority should strive to ensure the market is sufficiently informational and operational.

Item Type: Thesis (Masters)
Subjects: 300 Social Sciences > 330 Economics
Divisions: Faculty of Arts and Social Sciences > Department of Economics
Depositing User: Mr Habibu V. Kazimzuri
Date Deposited: 13 Jul 2016 10:26
Last Modified: 13 Jul 2016 10:26
URI: http://repository.out.ac.tz/id/eprint/1341

Actions (login required)

View Item View Item