Monthly Stock Market Seasonality: The Nigerian Evidence

Abstract

The purpose of this study is to examine monthly stock seasonality in the All Share Index (ASI) returns of the Nigerian Stock Exchange. The study uses monthly returns for the period January 1996 to December 2013. The study specifies a dummy variables regression model with an AR (1) included, and fits a Garch (1, 1) model. Using maximum likelihood estimation method, results obtained provide evidence of monthly stock market seasonality. The study finds evidence of a January effect which is consistent with previous studies that found January effect. However, the finding is not consistent with the tax-loss selling hypothesis explanation in the manner of the December – January seasonality. It could be explained by a tax-loss selling hypothesis of a November – January seasonality.

Keywords: Monthly stock market seasonality, All Share Index, maximum likelihood, January effect, tax-loss
selling hypothesis.