The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997

Abstract

This paper investigates the existence of the Weekend, January and Pre-Holiday effects in the All Gold Index on the Johannesburg Stock Exchange over an 11- year period; 5 January 1987 through 15 May 1997, and for three sub-samples of equal length. These results are in severe contrast to the overwhelming international evidence documented for the stock markets of many other countries, be they developed or emerging markets: there appears to be no Weekend, January or Pre-Holiday effects, present in the All Gold Index. This is somewhat surprising as some financial economists have suggested that the above seasonalities are now accepted ‘stylised facts’! This paper suggests that the lack of any detectable calendar effects, may, in part, be due to the particular market microstructure of the Johannesburg Stock Exchange or the composition of the All Gold Index. Consequently this paper concludes that further research is required in this area. This is a somewhat ironic conclusion: usually security market anomalies studies are concerned with offering suggestions as to why a particular seasonality has occurred, here this study is suggesting that further research is required as to why anomalies have not occurred.