An Analysis of Stock Market Anomalies and Momentum Strategies on the Stock Exchange of Mauritius
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Date
2011-01
Authors
Bundoo, S.K
Journal Title
Journal ISSN
Volume Title
Publisher
AERC
Abstract
The Stock Exchange of Mauritius started operations in July 1989 and as at December 2006 there were 41 listed companies with a market capitalization of US$3,540.60 million. The market index is the Semdex. This study investigates whether the stock market anomalies such as day-of-the-week effect and the January effect are present on the Stock Exchange of Mauritius over the period January 2004 to December 2006. We find negative Tuesday returns but positive returns for other days of the week. However, when we control for the size effect and the value premium as per the Fama and French (1993) three-factor model, only the Friday effect remains significant. The possible profit opportunities on the SEM in terms of both economic and statistical significance are also investigated.
Finally, the study investigated investment strategies based on momentum in returns on
the Stock Exchange of Mauritius and how robust these strategies are after controlling
for size and value. The mean excess returns are statistically significant at the 1% level
for momentum portfolios. We also find strong support for the Carhart’s (1997) model
where the momentum factor is priced. The explanatory power of the momentum factor
in fact dominates that of size and value.
Description
HG 5890.3 Z95 B86 2011
Keywords
Stock exchanges - Mauritius , Stock market anomalies, , momentum