Calendar effects in the Tunisian stock exchange
by Olfa Chaouachi; Fatma Wyème Ben Mrad Douagi
International Journal of Behavioural Accounting and Finance (IJBAF), Vol. 4, No. 4, 2014

Abstract: This paper examines daily returns of the stock market index of Tunisia (Tunindex) to prove whether there is existence of calendar effects related to the day of the week, the month of the year, and the semi-month effects. Using both parametric and nonparametric tests, we find evidence of day of the week and month of the year effects. However, we report no semi-month effect in daily returns of Tunindex in the Tunisian stock exchange (TSE) over the period January 1998 to December 2011. More specifically, we report the Friday effect that Friday returns tend to be positive and higher than returns of the other days. Also, we find an April effect in which we document that the returns are significantly higher in April than the returns in other months.

Online publication date: Sun, 22-Feb-2015

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