Seasonal Anomalies in Stock Returns in Ghana

Abstract

In this study, the existence of monthly effect on stock return of Accra Brewery Limited of the Ghana Stock Exchange was investigated. The study revealed that, the returns are not normally distributed and they are leptokurtic in nature indicating high volatility. Using the ADF test for stationarity, it revealed that, the returns were stationary. In addition, the Kruskal-Wallis test and the regression on periodic dummies revealed that there was no evidence of the month-of-the-year seasonality in the stock returns. Thus, the Ghana Stock Exchange market can be said to be weak form efficient.

Keywords: Stock returns, Ghana, Kruskal-Wallis test, Regression on periodic dummies.