Calendar anomalies in Pakistan stock market

Sobia, Quayyoum and Muhammad, Asad and Simonetti, Biagio and Lau, Evan (2017) Calendar anomalies in Pakistan stock market. Electronic Journal of Applied Statistical Analysis, 10 (2). pp. 583-598. ISSN 2037-3627

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Abstract

Anomalies are those irregularities that cannot be defined by the standard finance theories. In this paper, we examined the existence of an intra-month effect and weekend effect in stock returns of Pakistan stock exchange. Data has been gathered from KSE-100 index which is largest and most liquid stock market in Pakistan. Daily stock index data has been gathered from November 2, 1991, through December 31, 2014, which approximates to about 23 years data. Returns on this data were calculated and calendar anomalies were examined. Our results show that there exists an intra-month effect. Similarly, the existence of the weekend effect in the stock market is also observed. Hence, Karachi stock market shows anomalous behavior in the returns.

Item Type: Article
Uncontrolled Keywords: Calendar effects, day of the week effect, seasonality, anomalies, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 28 Nov 2017 02:29
Last Modified: 28 Nov 2017 02:29
URI: http://ir.unimas.my/id/eprint/18561

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