Not All Calendar Anomalies are Adaptive in the Nigerian Stock Market 

This study evaluated the presence and adaptability of four calendar anomalies in the Nigerian stock market using the daily all-share index (20002017). For the purpose of analyses, this article employed the mean equations of the generalised autoregressive conditional heteroscedasticity (GARCH) through overlapping sub-period methodology. The results showed that there is presence of month of the year effect in the Nigeria stock market, especially the positive May and December and the negative August effect while Halloween, bi-monthly and turn-of-the-month effects are absent. By evaluating time-varying behaviour, the study showed that August effect and turn-of-the-month effect are adaptive while Halloween and bi-monthly effect are not. As a result, the study concluded that not all calendar anomalies are adaptive in the Nigerian stock market.