Title: Calendar effects in the Tunisian stock exchange

Authors: Olfa Chaouachi; Fatma Wyème Ben Mrad Douagi

Addresses: Faculty of Economic Sciences and Management of Tunis, University of Tunis El Manar, Campus Universitaire, B.P. 248 El Manar II 2092, Tunisia ' Faculty of Economic Sciences and Management of Tunis, University of Tunis El Manar, Campus Universitaire, B.P. 248 El Manar II 2092, Tunisia

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.

Keywords: 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.

DOI: 10.1504/IJBAF.2014.067593

International Journal of Behavioural Accounting and Finance, 2014 Vol.4 No.4, pp.281 - 289

Received: 14 Nov 2013
Accepted: 17 Apr 2014
Published online: 22 Feb 2015 *

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