CALENDAR EFFECT AND RETURNS OF LISTED COMPANIES ON THE GHANA STOCK EXCHANGE: A DOLS AND GARCH MODELLING

Abstract

This study investigated the existence of a day-of-the-week, January, and turn-of-themonth effects on the stock returns from the financial institutions and manufacturing companies listed on the Ghana Stock Exchange. Daily stock-price data, sourced from the Ghana Stock Exchange website, and accounting data for shareholder/net tangible asset value, sourced from audited financial statements of listed firms, was collected and analyzed with Fama and French’s three-factor model and dynamic ordinary least square regression. In addition, a time-varying effect was examined with the generalized autoregressive conditional heteroskedasticity model. No evidence was found for day-ofthe-week, January, or turn-of-the-month effects in the manufacturing sector; however, effects from day of the week and January were found to exist in the financial sector. With regard to time-varying, neither sector showed evidence of conditional volatility.