Abstract
Generally, calendar effects takes place when the returns of financial assets exhibit
particular characteristics over specific days, weeks, months or even years. This research
report uses dummy variables with multiple linear regressions to identify the existence
of various effects. Which include month-of-the year effect or January effect, turn-of-the-
year effect, summer effect, month-of-the quarter effect, week-of-the month effect, semi
month effect, day-of-the-week effect or weekend effect, Monday effect, holiday effect,
and Ramadhan effect. The study was done on the Karachi Stock Exchange using the
KSE-100 Index.
The study concluded that several seasonal effects do exist in the KSE. Some of the
effects that were found included day 3 as the day-of-the-week effect; January, February,
May indicate month-of-the-year effects; weeks 3, 5, 7, 21 and 22 show week-of-the-
year effect and Ramadhan effect. These effects indicate that the returns are significantly
higher in these periods/seasons. The implications from the existence of these effects
are the opportunity of making excessive returns in relation to the risk taken. There is
also an indication of Weak or Semi strong form of Efficient Market Hypothesis for the
KSE. While this study has provided additional insights into the behavior of stock returns
in emerging markets, stock returns seasonality is still not fully understood.
Syed Irfan Ahmed , Dr. S. M. Husnain Bokhari. (2009) Seasonality at the Karachi Stock Exchange, Journal of Independent Studies and Research-Management, Social Sciences and Economics, Volume-07, Issue-2.
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