Calendar Effects on Stock Market Returns : Evidence from the Stock Exchange of Mauritius

Efficient market stated that stock's return is indifferent in each trading day. But, the calendar effects phenomenon made a different return in each single day in a week or month. This is an abnormal return which can affect investor in deciding investment strategy, portfolio selection, and profit management. This study investigates the day of the week effect, more precisely the Monday effect and the January effect on the Stock Exchange of Mauritius (SEM) in order to get the information whether these anomalies exist or not. Linear regression model, GARCH and EGARCH models are used to answer our objective. The result shows that Monday effect is nonexistent in SEM. However, we find a significant positive January effect at market level. This study also concludes that volatility shocks are persistent in both daily and monthly returns and moreover, reports the presence of leverage effect in the daily stock returns