Calendar Anomalies in Pakistans Stock Market


The aim of the study is to investigate the presence of calendar anomalies in the Karachi stock exchange of Pakistan. Anomalies are irregularities that cannot be defined by standard finance theories. This study is conducted to find out existence of intramonth and weekend effect calendar anomalies. Data is obtained from KSE-100 index which is biggest and most liquid stock market in Pakistan. Daily stock index data has been gathered from November 1991 to December 2014 which is approximately 23 year data. Returns of this daily data are calculated and calendar anomalies are checked. Our results from analysis show that there exist intramonth anomaly which have high returns as compare to 2nd half of the month. Similarly existing of weekend effect is also observed in stock market. So Karachi stock market shows anomalous behavior in the returns.

Full Text: pdf

Creative Commons License
This work is licensed under a Creative Commons Attribuzione - Non commerciale - Non opere derivate 3.0 Italia License.