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Impact of market anomalies on stock exchange: A comparative study of KSE and PSX

Future business journal, 2020-12, Vol.6 (1), p.1-11, Article 1 [Peer Reviewed Journal]

The Author(s) 2020 ;The Author(s) 2020. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2314-7210 ;ISSN: 2314-7202 ;EISSN: 2314-7210 ;DOI: 10.1186/s43093-019-0006-4

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  • Title:
    Impact of market anomalies on stock exchange: A comparative study of KSE and PSX
  • Author: Anjum, Sadia
  • Subjects: Business and Management ; Capital markets ; Efficiency ; Efficient markets ; EMH ; Hypotheses ; KSE ; Market anomalies ; New stock market listings ; PSX ; Seasonal variations ; Securities markets ; Stochastic models ; Stock exchanges ; Stock returns ; Systematic patterns ; Time series
  • Is Part Of: Future business journal, 2020-12, Vol.6 (1), p.1-11, Article 1
  • Description: 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.
  • Publisher: Heidelberg: Springer
  • Language: English
  • Identifier: ISSN: 2314-7210
    ISSN: 2314-7202
    EISSN: 2314-7210
    DOI: 10.1186/s43093-019-0006-4
  • Source: SpringerOpen
    ProQuest Central
    DOAJ Directory of Open Access Journals
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