Calendar effects and market anomalies on the Johannesburg Stock Exchange

This study sought to investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus indices during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of Markov Switching Autoregressive models with a different number of regimes and lag orders. The results from the investigation show the non-existence of the January effect and the value effect on the JSE during the periods 2002 – 2013 and 2004 – 2013, respectively. However, evidence of the weekend effect was found in the Mid Cap and the Small Cap indices, and the size effect was also found to be statistically significant during the same period 2002 - 2013. Finally, the results from a Granger causality test concluded that there is a relationship between the returns on the Dividend Plus index and the ALSI, effectively proving the existence of the dividend yield effect on the JSE between 2006 and 2013. The evidence of anomalies suggests an opportunity for investors to make returns above buy-and-hold