Calendar anomalies in Pakistan stock market
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 sto...
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| Format: | Article |
| Language: | English |
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Universita� del Salento
2017
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| Online Access: | http://ir.unimas.my/id/eprint/18561/ http://ir.unimas.my/id/eprint/18561/7/Calendar%20anomalies%20in%20Pakistan%20stock%20market%20%28abstract%29.pdf |
| _version_ | 1848838539791302656 |
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| author | Sobia, Quayyoum Muhammad, Asad Simonetti, Biagio Lau, Evan |
| author_facet | Sobia, Quayyoum Muhammad, Asad Simonetti, Biagio Lau, Evan |
| author_sort | Sobia, Quayyoum |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T06:57:10Z |
| format | Article |
| id | unimas-18561 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:10Z |
| publishDate | 2017 |
| publisher | Universita� del Salento |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-185612017-11-28T02:29:16Z http://ir.unimas.my/id/eprint/18561/ Calendar anomalies in Pakistan stock market Sobia, Quayyoum Muhammad, Asad Simonetti, Biagio Lau, Evan HB Economic Theory 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. Universita� del Salento 2017-10-14 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18561/7/Calendar%20anomalies%20in%20Pakistan%20stock%20market%20%28abstract%29.pdf 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 http://siba-ese.unisalento.it/index.php/ejasa/index DOI: 10.1285/i20705948v10n2p583 |
| spellingShingle | HB Economic Theory Sobia, Quayyoum Muhammad, Asad Simonetti, Biagio Lau, Evan Calendar anomalies in Pakistan stock market |
| title | Calendar anomalies in Pakistan stock market |
| title_full | Calendar anomalies in Pakistan stock market |
| title_fullStr | Calendar anomalies in Pakistan stock market |
| title_full_unstemmed | Calendar anomalies in Pakistan stock market |
| title_short | Calendar anomalies in Pakistan stock market |
| title_sort | calendar anomalies in pakistan stock market |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18561/ http://ir.unimas.my/id/eprint/18561/ http://ir.unimas.my/id/eprint/18561/ http://ir.unimas.my/id/eprint/18561/7/Calendar%20anomalies%20in%20Pakistan%20stock%20market%20%28abstract%29.pdf |