Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246611 
Authors: 
Year of Publication: 
2020
Citation: 
[Journal:] Future Business Journal [ISSN:] 2314-7210 [Volume:] 6 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2020 [Pages:] 1-11
Publisher: 
Springer, Heidelberg
Abstract: 
This paper serves the purpose of empirically investigating the impact of three market anomalies: day-of-the-week effect, weekend effect and monthly effect (January and July effects) on Pakistan stock market prior and after the establishment of PSX. The paper constructed multiple regression analysis employing dummy variables using least squares, ARCH and EGARCH-in-mean models. Breusch-Godfrey serial correlation LM test is used to check the serial correlation in the return series and Wald coefficient restriction test to evaluate joint significance of the dummy coefficients. However, Box-Jenkins (ARIMA) technique is used to evaluate the best fit of time series model to the past values of that time series. The results of the study reveal the highest Friday mean returns and lowest, but not negative Monday mean returns. Furthermore, the study indicates that December mean returns are high in Karachi Stock Exchange and March returns are high in the case of Pakistan Stock Exchange. This is the first study to evaluate the impact of three market anomalies prior and after the establishment of Pakistan Stock Exchange.
Subjects: 
Market anomalies
KSE
PSX
Stock returns
EMH
systematic patterns
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.