An Econometric Analysis of African Stock Market : Annual Returns Analysis, Day-of-the-Week Effect and Volatility of Returns

This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of five African stock markets. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. To supplement this analysis, graphical representation of the indexes annual percentage changes was explored and their correlation determined. The results contradict the presence of the-day-of-the- week but indicate insignificant daily returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 1997 and 2004. There was a high positive correlation of market gains and declines among the markets