Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets

Abstract

Purpose: This paper examines the changing behavior of two calendar anomalies in African stock returns – the month-of-the-year and the intra-month effects – and their implications for the adaptive market hypothesis (AMH).

Keywords

• calendar effect
• intra-month
• amh
• african stock markets
• markov switching model
• g10
• g14