Annualized Stock Market Returns Volatility: An Evidence of Dar es Salaam Stock Exchange

Abstract

Financial market players raise a concern about returns volatility anomalies. Yet,
the day effects of stock market return instability in the Dar es Salaam financial
market are not known. The present study, investigated the day effects on returns
using time series data for the years 1998 through 2020. The return of market stocks
was analysed using Win Rat and E-views. The results showed that the day of and
the month of the year outcome existed in the return equation only with a constant
decay rate
(

+
=
0
.
75
)
meaning that the unpredictability forecast reverts to its
unrestricted mean at the proportion of 0.75 per transaction period. Moreover, it
was found that the lowest monthly returns spread were observed for TCC and the
highest for the whole market while the maximum and nethermost daily returns
occurred on Wednesdays and Tuesdays, respectively. Furthermore, it was found
that the positive January effect was observed in the market and monthly mean
returns were positive with the lowest returns in December. The study concludes that
that day’s effects impacted the market stock return caused by the volatility effect on
returns. It is therefore recommended that rational investors should invest in the
market for their future gains.