An Analysis of the Reverse Weekend Anomaly at the Nairobi Securities Exchange in Kenya

Sifunjo E. Kisaka, Cherutoi, Elima Kimonda, Hellen Murugi Kamuti, Benedict Mangobe Wafubwa


The objective of this study is to investigate whether the Nairobi Securities Exchange (NSE) exhibits the reverse weekend anomaly. The reverse weekend anomaly exists when Monday returns are significantly positive and larger than those on other days of the week. The data used in this study consisted of daily stock returns of 32 sampled companies listed continuously at the NSE from 1 January 2001 to 31st December 2005. Since the reverse weekend effect tends to be associated with stocks of large firms, the data set was split into two sub-samples for large and small companies. Then weekly stock returns were regressed on the daily stock returns for the two sub-samples and the full sample. The sign, magnitude and significance of Monday returns in relation to those of other days of the week were examined. The results show that Monday returns are highly significant but their coefficient is not positive. Hence there is no reverse weekend anomaly at the Nairobi Securities Exchange. This finding is attributed to the increasing efficiency of the Nairobi Securities Exchange. The findings of this study are consistent with the findings of Leuthold (1991) but contradict those of Brusa, Liu & Schulman (2005).

Keywords: Weekend Anomaly, Reverse Weekend Anomaly, Efficient Market Hypothesis, Nairobi Securities Exchange, Kenya

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