Time your investment on the Ghana Stock Exchange (GSE)

The purpose of this paper is to investigate the day of the week effect on the Ghana Stock Exchange (GSE) by using the GSE all-share index from November 1990 to August 2012. The presence of the day of the week effect has been reported on several markets. The study reveals the presence of day of the week effect on the GSE, specifically, highest returns on Tuesday and lowest on Thursday. Monday, Wednesday and Friday also record significant positive returns, however, the significance returns is captured by a strong auto-regression in the returns. Therefore, investors may not have the opportunity to increase their returns by timing their investments. Further, the significance of the anomalies is not robust across time since different sub periods with different trading days per week shows different results.