Calendar effects in the Tunisian stock exchange. (1st January 2014)

• Record Type: Journal Article
• Authors: Chaouachi, Olfa; Douagi, Fatma Wyème Ben Mrad
• Is Part Of: International journal of behavioural accounting and finance. Volume 4:Number 4(2014)
• Page Start: 281
• Page End: 289
• Publication Date: 2014-01-01
• Subjects: TSE -- Tunisian stock exchange -- calendar effects -- day of the week effect -- month of the year effect -- semi–month effect -- Tunisia -- stock markets -- Friday effect -- April effect -- daily returns; Accounting -- Psychological aspects -- Periodicals; Business enterprises -- Finance -- Psychological aspects -- Periodicals; Investments -- Psychological aspects -- Periodicals; Organizational behavior -- Periodicals; 657.019
• DOI: 10.1504/IJBAF.2014.067593
• Languages: English
• ISSNs: 1753-1969

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.