Seasonal Anomalies: Empirical Evidence from Regional Stock Exchange Ivory Coast Securities

Abstract

This paper tries to examine the efficiency of the Regional Stock Exchange in Ivory Coast Securities (BRVM), by testing two seasonal anomalies: the day of the week effect and the month of the year effect. Applying the GARCH models, we found evidence of day of the week and month of the year effects between January 2002 and December 2016. These seasonal anomalies challenge the efficiency of the market hypothesis, proposed by Fama (1970).