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

Abstract

inancial 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 (α + β= 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.