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This paper investigates the day of the week effect and the January effect on the Stock Exchange of Mauritius (SEM). Positive and statistically significant Wednesday and Friday effects are observed. Surprisingly the authors also find a positive and significant Monday effect but smaller in magnitude. The extra returns may not seem to be economically significant, but when analyzed on a yearly basis, they adequately compensate for market frictions, ranging from 3.83 to 4.65 per cent. When the size effect and the book-to-market equity effect are controlled for, only the Friday effect remains statistically significant. There is no January effect on the SEM.
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