STOCK MARKET ANOMALIES AND MOMENTUM STRATEGIES ON THE MALAWI STOCK EXCHANGE
Loading...
Date
2017-10-06
Authors
SAULOSI, THOKOZANI MAXIN
Journal Title
Journal ISSN
Volume Title
Publisher
university of Malawi
Abstract
This paper uses asset pricing models to analyze whether the nascent Malawi stock
exchange exhibits calendar anomalies and whether returns are influenced by factors
investigated in mature and more sophisticated markets. The findings are that there exist a
positive Tuesday and Thursday, day of the week effect on returns at the market level but
with the lowest risks. However, when controlled for the size effect and the value
premium as per the Fama and French (1993) three-factor model, it was found that the day
of the week effect disappears. Rather than the usual January effect, May has a stronger
effect in terms of month of the year effect. The possible profit opportunities on the SEM
in terms of both economic and statistical significance are also investigated and how
robust these strategies are after controlling for size and value.Strong momentum profits
were found to be associated with small market capitalization portfolios as well as high
book equity to market equity. The momentum factor was also statistically significant
when considering momentum portfolios, in addition to the size effect and value premium.
However, the explanatory power of the momentum factor does not dominate that of size
and value.