This study investigates daily stock market anomalies in the African stock markets, using two most representative stock index ETFs, each over at least eleven-year time period spanning from pre-financial crisis era to ten years into the financial crisis. This research attempts to test the presence of the weekend effect on stock returns in the African stock exchanges during the financial crisis. The results indicate a significant negative effect on Mondays. Our results shed some light on the degree of market efficiency in one of the major emerging capital markets in the world.
Keywords: Monday Effect, Weekend Effect, African stock marke

Kra, Brinwa

Lu, Xing

Yin, Haiyan

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The Weekend Effect in African Stock 
Markets  
  
Kra, Brinwa; Lu, Xing; Yin, Haiyan  
 
 
 
 
To cite this article: Kra, Brinwa Kra, et al. “The Weekend Effect in African Stock 
Markets.” International Journal of Business and Applied Social Science, vol. 
5, no. 11, Nov. 2019, pp. 45–49, doi:10.33642/ijbass.v5n11p6. 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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      ©Center for Promoting Education and Research (CPER) USA                                 www.cpernet.org 
 
 
International Journal of Business and Applied Social Science (IJBASS) 
 
E-ISSN: 2469-6501 
VOL: 5, ISSUE: 11 
 November/2019  
 DOI:10.33642/ijbass.v5n11p6               
https://ijbassnet.com/ 
 
 
The Weekend Effect in African Stock Markets 
 
Brinwa Kra  
Judd Leighton School of Business  
Indiana University South Bend  
1700 W Mishawaka Ave., South Bend, IN, 46615  
Email: brinkra@iu.edu    
USA 
 
 
Xing Lu1  
Judd Leighton School of Business  
Indiana University South Bend  
1700 W Mishawaka Ave., South Bend, IN, 46615  
Email: Lu35@iusb.edu   
USA  
 
Haiyan Yin  
Judd Leighton School of Business 
Indiana University South Bend  
1700 W Mishawaka Ave., South Bend, IN, 46615  
Email: Haiyin@iusb.edu    
USA 
Abstract 
This study investigates daily stock market anomalies in the African stock markets, using two most representative 
stock index ETFs, each over at least eleven-year time period spanning from pre-financial crisis era to ten years 
into the financial crisis. This research attempts to test the presence of the weekend effect on stock returns in the 
African stock exchanges during the financial crisis. The results indicate a significant negative effect on 
Mondays. Our results shed some light on the degree of market efficiency in one of the major emerging capital 
markets in the world. 
 
Keywords: Monday Effect, Weekend Effect, African stock market 
 
JEL classification: C31, G11, G14 
I. Introduction 
 
The weekend Effect anomalies have been well documented in stock returns from the U.S., European and Asian 
financial markets. Earlier Studies exploring the weekend effect include Cross (1973), French (1980), Gibbons and Hess 
(1981), Keim and Stambaugh (1984), Aggarwal and Rivoli(1989), and Rogalski (1984), all showing that the 
distribution of stock returns varies according to the weekend. Bashaer and Sadorsky (2006) suggest that identifying the 
weekend effect in financial markets is very crucial for investors to make decisions with their portfolio adjustment. First, 
many studies show that Monday has been the “underperforming” day, as the returns on Monday tend to be negative 
and significantly lower than the average return of other weekdays (Gibbons and Hess 1981; Jaffe and Westerfield 1985; 
Solnik and Bousquet 1990; Siegel 1998). Second, although less common than the Monday effect, a few studies find 
higher stock index returns occurring on Friday (Lakonishok and Smidt 1988). These effects are not limited to the U.S. 
 
                                                 
1 Corresponding author, Xing Lu Email: Lu35@iusb.edu 
 
 
 
 
 
 
 
     
 
 
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      ©Center for Promoting Education and Research (CPER) USA                                 www.cpernet.org 
 
 
International Journal of Business and Applied Social Science (IJBASS) 
 
E-ISSN: 2469-6501 
VOL: 5, ISSUE: 11 
 November/2019  
 DOI:10.33642/ijbass.v5n11p6               
https://ijbassnet.com/ 
 
 
equity market, but also found in other financial markets including the futures market, Treasury bill market, real estate 
investment trusts, currency exchange market, and the bond market (Cornell 1985; Dyl and Maberly 1986; Redman, 
Manakyan, and Liano 1997; Thatcher and Blenman 2001). The weekend effect has also been found significant in many 
other countries (Aggarwal and Rivoli 1989; Chang, Pinegar and Ravichandran 1993; Dubois and Louvet 1996; Tong 
2000; Lu and Gao 2016). Jaffe and Westerfield (1985) find a similar but not identical effect in China, Japan, Australia, 
Canada, and the United Kingdom. Chen and Singal (2003) identify the trading behavior of short-sellers as the possible 
cause of negative Monday returns. They argue that speculative short-sellers seek to closely monitor their positions to 
limit potential losses by closing their open position before the weekend. However, short selling should not be impactful 
in causing the positive Friday returns in the African stock market, since short-selling stocks are extremely limited.   
This paper attempts to investigate the weekend effect in Africa, especially after the inception of the 2008 
financial crisis. Since the inception of the financial crisis in 2008, the foreign investments to Africa have significantly 
increased from the U.S, as shown in Figure 1. 
 
Figure 1 U.S.’s FDI in Africa (2000-2018) 
 
 
*Data source: Statista 2019 
In this paper, our data sample spanning from 2003 to 2019, enables us to investigate the weekend effects before 
and after the inception of the global financial crisis. We use daily values of two most representative indices tracking 
large and mid-cap companies in Africa, in our attempt to identify the weekend effect. We test two hypotheses in this 
paper: 
 
  
H1. The weekend effect is significant in African stock markets. 
H2. The increased bond between Africa and the U.S. financial markets causes a stronger Monday effect in African 
stock markets.    
  
The remainder of the paper is organized as follows: Section II describes the data sample and methods. Section 
III presents and discusses the empirical results. Finally, we summarize the findings in the last section. 
 
 
 
 
 
 
 
     
 
 
Page 47 
 
  
      ©Center for Promoting Education and Research (CPER) USA                                 www.cpernet.org 
 
 
International Journal of Business and Applied Social Science (IJBASS) 
 
E-ISSN: 2469-6501 
VOL: 5, ISSUE: 11 
 November/2019  
 DOI:10.33642/ijbass.v5n11p6               
https://ijbassnet.com/ 
 
 
 
II. Data and Methodology 
 
Our study includes two very representative African stock index ETFs, as shown in Table I. All data are collected 
from Yahoo! Finance’s database. The sample periods range from 2003 to 2019. 
  
Daily market returns of the major stock market indices have been computed and categorized based on the 
occurrence of the global financial crisis. The global financial crisis splits the full sample into two groups by Sept. 15th, 
2008, when the bankruptcy of Lehman Brothers was announced. 
 
Table I. Index ETF Descriptions 
ETF Tracking Index Inception Date in 
Our Sample 
Van Eck Vectors Africa 
Index ETF (AFK) 
MVIS GDP Africa Index： defines 
country weightings based on a 
country's gross domestic product 
(GDP).  
Jul. 14th 2008 
iShares MSCI South 
Africa ETF (EZA) 
MSCI South Africa 25/50 
Index：large and mid-cap equity  
Feb. 7th 2003 
Data Source: Yahoo! Finance 
 
We calculate the returns of the indices using the formula: 
 
Rt = Ln (Pt) – Ln (Pt-1)  
where  
- Rt is the return on the day t; 
- Pt is the closing market index price on the day t. 
 
We test the weekend effects by forming the regression model with dummy variables: 
 
Rt = β1 Mont + β5 Frit + et 
where  
- Rt is the index return on day t; 
- Mont is a dummy variable which equals one for Monday and zero otherwise; 
- Frit is a dummy variable which equals one for Friday and zero otherwise; 
 
If the African stock market exhibits a stronger negative Monday effect, then the estimated coefficient β1 is 
expected to be negative and statistically significant.  
 
III. Testing Weekend Effects 
 
Table II presents the descriptive statistics of index returns. The K-W test suggests the presence of a significant 
negative Monday anomaly for both indices. Besides, the magnitude of the negative mean return on Mondays in South 
Africa became much stronger after the financial crisis. 
Table II. Descriptive Statistics 
 
Index Return Mean (Std. Dev.) K-W Test [p-value] 
AFK Monday -.0003(.0068) 5.160[0.023]** 
Friday .0001(.0061) .031[.565] 
After Financial Crisis 
Monday -.0003(.0068) 4.509[.034]** 
Friday .0001(.0061) .278[.598] 
EZA Monday -.0001(.0091) 2.941[.086]* 
Friday .0002(.0087) .482[.487] 
After Financial Crisis 
Monday -.0002(.0096) 3.25[.071]* 
Friday .0001(.0094) .074[.786] 
Data Source: Yahoo! Finance 
 
 
 
 
 
 
 
     
 
 
Page 48 
 
  
      ©Center for Promoting Education and Research (CPER) USA                                 www.cpernet.org 
 
 
International Journal of Business and Applied Social Science (IJBASS) 
 
E-ISSN: 2469-6501 
VOL: 5, ISSUE: 11 
 November/2019  
 DOI:10.33642/ijbass.v5n11p6               
https://ijbassnet.com/ 
 
** represents significance at the 5% level. * represents significance at the 10% level. 
 
 
Table III reports the regression results. AFK shows a strong negative Monday effect. The negative effect is 
significant at 5% level, and consistent with the statistics in Table II, where the Monday mean is negative. However, 
although EZA shows an increased negative mean return in Table II, the negative Monday effect is not significant. After 
the inception of the 2008 financial crisis, results are similar to the full sample results.     
Table III. Regression Results 
Index Return Coefficient [p-value] 
AFK Monday  -.0016 [.027]** 
Friday .0004 [.558] 
After Financial Crisis 
Monday  -.0015 [.035]** 
Friday .0004 [.601] 
EZA Monday  -.0010 [.256] 
Friday .0004 [.46] 
After Financial Crisis 
Monday  -.0011 [.311] 
Friday .0002 [.843] 
**represents significance at the 5% level. 
 
 
IV. Conclusion and Summary 
 
In this research, we intend to answer three questions: first, do weekend effects exist and persist in African stock 
exchanges? Second, how does the financial crisis impact the weekend effect?    
We find that the weekend effects have been strong and significant in African stock exchanges. Our descriptive 
statistics of AFK show a consistent pattern of negative returns on Monday, which is supported by the Kwallis-White 
test with a 5% significance level. This effect has remained strong before and after the 2008 financial crisis. The 
regression analysis results also support this effect, showing a negative coefficient on the Monday factor and significant 
at 5% level. EZA also shows a strong negative Monday effect, which is significant at the 10% level. However, while 
the EZA’s mean returns on Monday became further negative, the regression results show that the weekend effect 
remains the same after the financial crisis. 
 
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      ©Center for Promoting Education and Research (CPER) USA                                 www.cpernet.org 
 
 
International Journal of Business and Applied Social Science (IJBASS) 
 
E-ISSN: 2469-6501 
VOL: 5, ISSUE: 11 
 November/2019  
 DOI:10.33642/ijbass.v5n11p6               
https://ijbassnet.com/ 
 
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