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Calendar Anomalies or illusions? Evidence from Pakistan Stock Market

Year 2021, Volume: 21 Issue: 3, 285 - 298, 30.06.2021
https://doi.org/10.21121/eab.970940

Abstract

The stock market is the reflection of any country's economy around the globe, the purpose of the study was to figure out the anatomies of anomalies in the calendar, Year Turn Effect keeping the first month as Jan-Jul and last month as Jun-Dec, Month Turn Effect (First and Last Week of the month) and Week Turn Effect (First and Last day of the week) covering period for KSE-100 and KSE All shares from Jan-2001 to Jun-2019 and rest three indices were taken from inception date, EGARCH model was selected based on prescribed criterion AIC, SIC, and HQC test, and last results were retest with stock market sensitivity to key macroeconomic factors such as Interest Rate (KIBOR), Treasury Bills Rates, and Exchange Rate. Findings revealed a strong clustering feature impact on conditional variance on Year Turn, Month Turn, and Week Turn Effect with mixed of market returns. The research suggested four considerable factors (1) Events, (2) Role of Information, (3) Market Timing and (4) Sovereign Variable affection on market, further it also suggested for future research to stretch data set and employ the bootstrapping method and different statistical techniques for rigorous results.

References

  • Agrawal, A., Tandon, K. J. J. o. i. M., & Finance. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. 13(1), 83-106.
  • Ariel, R. A. J. J. o. f. e. (1987). A monthly effect in stock returns. 18(1), 161-174.
  • Assogbavi, T., Osagie, J. E. J. I. B., & Journal, E. R. (2006). Equity valuation process and price-volume relationship on emerging stock markets. 5(9).
  • Athanassakos, G. J. J. o. I., Fall. (1997). Firm size, stock return seasonality, and the trading pattern of individual and institutional investors: The Canadian experience.
  • Booth, G. G., Kallunki, J.-P., Martikainen, T. J. J. o. I. F. M., Institutions, & Money. (2001). Liquidity and the turn-of-themonth effect: evidence from Finland. 11(2), 137-146.
  • Branch, B. J. t. J. o. B. (1977). A tax loss trading rule. 50(2), 198-207.
  • Brooks, R. M., Kim, H. J. T. Q. R. o. E., & Finance. (1997). The individual investor and the weekend effect: A reexamination with intraday data. 37(3), 725-737.
  • Cadsby, C. B., Ratner, M. J. J. o. B., & Finance. (1992). Turn-ofmonth and pre-holiday effects on stock returns: Some international evidence. 16(3), 497-509.
  • Canova, F., Hansen, B. E. J. J. o. B., & Statistics, E. (1995). Are seasonal patterns constant over time? A test for seasonal stability. 13(3), 237-252.
  • Chang, E. C., Pinegar, J. M., Ravichandran, R. J. J. o. F., & Analysis, q. (1993). International evidence on the robustness of the day-of-the-week effect. 497-513.
  • Cross, F. J. F. a. j. (1973). The behavior of stock prices on Fridays and Mondays. 29(6), 67-69. Dhankar, R. S. (2019). Capital Markets and Investment Decision Making: Springer.
  • Dimson, E., & Marsh, P. J. T. J. o. P. M. (1999). Murphy’s law and market anomalies. 25(2), 53-69.
  • Doyle, J. R., Chen, C. H. J. J. o. B., & Finance. (2009). The wandering weekday effect in major stock markets. 33(8), 1388-1399. French, K. R. J. J. o. f. e. (1980). Stock returns and the weekend effect. 8(1), 55-69.
  • Gibbons, M. R., & Hess, P. J. J. o. b. (1981). Day of the week effects and asset returns. 579-596.
  • Hansen, P. R., Lunde, A., & Nason, J. M. J. F. R. B. o. A. W. P. (2005). Testing the significance of calendar effects. (2005-02).
  • Harris, M., & Raviv, A. J. T. R. o. F. S. (1993). Differences of opinion make a horse race. 6(3), 473-506.
  • Hong, H., & Stein, J. C. J. J. o. E. p. (2007). Disagreement and the stock market. 21(2), 109-128.
  • Hui, T.-K. J. O. (2005). Day-of-the-week effects in US and Asia– Pacific stock markets during the Asian financial crisis: a non-parametric approach. 33(3), 277-282.
  • Jaffe, J., & Westerfield, R. J. T. j. o. f. (1985). The week‐end effect in common stock returns: The international evidence. 40(2), 433-454.
  • Johnston, K., Cox, D. R. J. Q. J. o. B., & Economics. (1996). The influence of tax-loss selling by individual investors in explaining the January effect. 14-20.
  • Karpoff, J. M. J. J. o. F., & Analysis, q. (1987). The relation between price changes and trading volume: A survey. 109-126.
  • Kohers, G., Kohers, N., Pandey, V., & Kohers, T. J. A. E. L. (2004). The disappearing day-of-the-week effect in the world’s largest equity markets. 11(3), 167-171.
  • Kunkel, R. A., Compton, W. S., & Beyer, S. J. I. R. o. F. A. (2003). The turn-of-the-month effect still lives: the international evidence. 12(2), 207-221.
  • Lee, I. J. J. o. B. F., & Accounting. (1992). Stock market seasonality: Some evidence from the Pacific‐Basin countries. 19(2), 199-210.
  • Lee, K.-Y., Chang, C.-S. J. Q. J. o. B., & Economics. (1988). Anomalies in the stock returns over trading and nontrading periods: Further evidence in the Korean stock market. 139-161.
  • Martikainen, T., Perttunen, J., & Puttonen, V. J. J. o. F. M. (1995). Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy. 15(6), 605-615.
  • Nikkinen, J., Sahlström, P., Takko, K., Äijö, J. J. I. J. o. E., & Finance. (2009). Turn-of-the-month and intramonth anomalies and US macroeconomic news announcements on the thinly traded Finnish Stock Market. 1(2), 3-11.
  • Ogden, J. P. J. T. J. o. F. (1990). Turn‐of‐month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. 45(4), 1259-1272.
  • Pettengill, G. N. J. Q. J. o. B., & Economics. (2003). A survey of the Monday effect literature. 42(3/4), 3-27.
  • Rogalski, R. J. J. T. J. o. F. (1984). New findings regarding day‐ofthe‐ week returns over trading and non‐trading periods: a note. 39(5), 1603-1614.
  • Rosenberg, M. J. T. A. E. (2004). The monthly effect in stock returns and conditional heteroscedasticity. 48(2), 67-73. Schwert, G. W. J. H. o. t. E. o. F. (2003). Anomalies and market efficiency. 1, 939-974.
  • Sullivan, R., Timmermann, A., & White, H. J. J. o. E. (2001). Dangers of data mining: The case of calendar effects in stock returns. 105(1), 249-286.
Year 2021, Volume: 21 Issue: 3, 285 - 298, 30.06.2021
https://doi.org/10.21121/eab.970940

Abstract

References

  • Agrawal, A., Tandon, K. J. J. o. i. M., & Finance. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. 13(1), 83-106.
  • Ariel, R. A. J. J. o. f. e. (1987). A monthly effect in stock returns. 18(1), 161-174.
  • Assogbavi, T., Osagie, J. E. J. I. B., & Journal, E. R. (2006). Equity valuation process and price-volume relationship on emerging stock markets. 5(9).
  • Athanassakos, G. J. J. o. I., Fall. (1997). Firm size, stock return seasonality, and the trading pattern of individual and institutional investors: The Canadian experience.
  • Booth, G. G., Kallunki, J.-P., Martikainen, T. J. J. o. I. F. M., Institutions, & Money. (2001). Liquidity and the turn-of-themonth effect: evidence from Finland. 11(2), 137-146.
  • Branch, B. J. t. J. o. B. (1977). A tax loss trading rule. 50(2), 198-207.
  • Brooks, R. M., Kim, H. J. T. Q. R. o. E., & Finance. (1997). The individual investor and the weekend effect: A reexamination with intraday data. 37(3), 725-737.
  • Cadsby, C. B., Ratner, M. J. J. o. B., & Finance. (1992). Turn-ofmonth and pre-holiday effects on stock returns: Some international evidence. 16(3), 497-509.
  • Canova, F., Hansen, B. E. J. J. o. B., & Statistics, E. (1995). Are seasonal patterns constant over time? A test for seasonal stability. 13(3), 237-252.
  • Chang, E. C., Pinegar, J. M., Ravichandran, R. J. J. o. F., & Analysis, q. (1993). International evidence on the robustness of the day-of-the-week effect. 497-513.
  • Cross, F. J. F. a. j. (1973). The behavior of stock prices on Fridays and Mondays. 29(6), 67-69. Dhankar, R. S. (2019). Capital Markets and Investment Decision Making: Springer.
  • Dimson, E., & Marsh, P. J. T. J. o. P. M. (1999). Murphy’s law and market anomalies. 25(2), 53-69.
  • Doyle, J. R., Chen, C. H. J. J. o. B., & Finance. (2009). The wandering weekday effect in major stock markets. 33(8), 1388-1399. French, K. R. J. J. o. f. e. (1980). Stock returns and the weekend effect. 8(1), 55-69.
  • Gibbons, M. R., & Hess, P. J. J. o. b. (1981). Day of the week effects and asset returns. 579-596.
  • Hansen, P. R., Lunde, A., & Nason, J. M. J. F. R. B. o. A. W. P. (2005). Testing the significance of calendar effects. (2005-02).
  • Harris, M., & Raviv, A. J. T. R. o. F. S. (1993). Differences of opinion make a horse race. 6(3), 473-506.
  • Hong, H., & Stein, J. C. J. J. o. E. p. (2007). Disagreement and the stock market. 21(2), 109-128.
  • Hui, T.-K. J. O. (2005). Day-of-the-week effects in US and Asia– Pacific stock markets during the Asian financial crisis: a non-parametric approach. 33(3), 277-282.
  • Jaffe, J., & Westerfield, R. J. T. j. o. f. (1985). The week‐end effect in common stock returns: The international evidence. 40(2), 433-454.
  • Johnston, K., Cox, D. R. J. Q. J. o. B., & Economics. (1996). The influence of tax-loss selling by individual investors in explaining the January effect. 14-20.
  • Karpoff, J. M. J. J. o. F., & Analysis, q. (1987). The relation between price changes and trading volume: A survey. 109-126.
  • Kohers, G., Kohers, N., Pandey, V., & Kohers, T. J. A. E. L. (2004). The disappearing day-of-the-week effect in the world’s largest equity markets. 11(3), 167-171.
  • Kunkel, R. A., Compton, W. S., & Beyer, S. J. I. R. o. F. A. (2003). The turn-of-the-month effect still lives: the international evidence. 12(2), 207-221.
  • Lee, I. J. J. o. B. F., & Accounting. (1992). Stock market seasonality: Some evidence from the Pacific‐Basin countries. 19(2), 199-210.
  • Lee, K.-Y., Chang, C.-S. J. Q. J. o. B., & Economics. (1988). Anomalies in the stock returns over trading and nontrading periods: Further evidence in the Korean stock market. 139-161.
  • Martikainen, T., Perttunen, J., & Puttonen, V. J. J. o. F. M. (1995). Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy. 15(6), 605-615.
  • Nikkinen, J., Sahlström, P., Takko, K., Äijö, J. J. I. J. o. E., & Finance. (2009). Turn-of-the-month and intramonth anomalies and US macroeconomic news announcements on the thinly traded Finnish Stock Market. 1(2), 3-11.
  • Ogden, J. P. J. T. J. o. F. (1990). Turn‐of‐month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. 45(4), 1259-1272.
  • Pettengill, G. N. J. Q. J. o. B., & Economics. (2003). A survey of the Monday effect literature. 42(3/4), 3-27.
  • Rogalski, R. J. J. T. J. o. F. (1984). New findings regarding day‐ofthe‐ week returns over trading and non‐trading periods: a note. 39(5), 1603-1614.
  • Rosenberg, M. J. T. A. E. (2004). The monthly effect in stock returns and conditional heteroscedasticity. 48(2), 67-73. Schwert, G. W. J. H. o. t. E. o. F. (2003). Anomalies and market efficiency. 1, 939-974.
  • Sullivan, R., Timmermann, A., & White, H. J. J. o. E. (2001). Dangers of data mining: The case of calendar effects in stock returns. 105(1), 249-286.
There are 32 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Jahanzaib Alvi 0000-0001-9145-6545

Muhammad Rehan 0000-0001-5056-5307

Ismat Mohıuddın This is me 0000-0002-7705-7860

Publication Date June 30, 2021
Acceptance Date June 27, 2021
Published in Issue Year 2021 Volume: 21 Issue: 3

Cite

APA Alvi, J., Rehan, M., & Mohıuddın, I. (2021). Calendar Anomalies or illusions? Evidence from Pakistan Stock Market. Ege Academic Review, 21(3), 285-298. https://doi.org/10.21121/eab.970940
AMA Alvi J, Rehan M, Mohıuddın I. Calendar Anomalies or illusions? Evidence from Pakistan Stock Market. ear. June 2021;21(3):285-298. doi:10.21121/eab.970940
Chicago Alvi, Jahanzaib, Muhammad Rehan, and Ismat Mohıuddın. “Calendar Anomalies or Illusions? Evidence from Pakistan Stock Market”. Ege Academic Review 21, no. 3 (June 2021): 285-98. https://doi.org/10.21121/eab.970940.
EndNote Alvi J, Rehan M, Mohıuddın I (June 1, 2021) Calendar Anomalies or illusions? Evidence from Pakistan Stock Market. Ege Academic Review 21 3 285–298.
IEEE J. Alvi, M. Rehan, and I. Mohıuddın, “Calendar Anomalies or illusions? Evidence from Pakistan Stock Market”, ear, vol. 21, no. 3, pp. 285–298, 2021, doi: 10.21121/eab.970940.
ISNAD Alvi, Jahanzaib et al. “Calendar Anomalies or Illusions? Evidence from Pakistan Stock Market”. Ege Academic Review 21/3 (June 2021), 285-298. https://doi.org/10.21121/eab.970940.
JAMA Alvi J, Rehan M, Mohıuddın I. Calendar Anomalies or illusions? Evidence from Pakistan Stock Market. ear. 2021;21:285–298.
MLA Alvi, Jahanzaib et al. “Calendar Anomalies or Illusions? Evidence from Pakistan Stock Market”. Ege Academic Review, vol. 21, no. 3, 2021, pp. 285-98, doi:10.21121/eab.970940.
Vancouver Alvi J, Rehan M, Mohıuddın I. Calendar Anomalies or illusions? Evidence from Pakistan Stock Market. ear. 2021;21(3):285-98.