Academy of Entrepreneurship Journal (Print ISSN: 1087-9595; Online ISSN: 1528-2686)


Analysis of Month of the Year Effect in an Emerging Market via Stochastic Dominance Approach

Author(s): Ini Adinya,Tolulope Oke,Sunday O. Edeki

This paper investigates the month-of-the-year effect for the Nigerian Stock Exchange (NSE) for the period spanning January 1985 to December 2015. The analysis carried out is based on the Stochastic Dominance framework. Our empirical results support the existence of monthly anomaly in the NSE and show that no month of the year stochastically dominates all the other months in the sense of First Order stochastic dominance. The study also shows that March and April have the highest mean returns and there is significant evidence of the month of the year effect in both months. Our result is consistent with studies on some emerging markets which show evidence of calendar effect. However, this is contrary to the January effect observed in most developed markets as reported in the literature.