Calendar effects in the pakistani stock

The autocorrelation of returns is largely insignificant. Abstract Most prior research Calendar effects in the pakistani stock tested for monthly regularities based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures.

We further find that the turn-of-the-month effect is not confined to small or low-priced Show Context Citation Context Using CRSP daily returns, we find that the turn-of-the-month effect persists over the more recent interval of A turn-of-the-month effect in U.

The results from the model offer very little statistical evidence of a monthly seasonal anomaly in average returns, but there is evidence of monthly patterns in the volatility of returns for KSE equities. Korajczyk, Ronnie Sadka, Seminarparticipantsatthenbermicrostructure Meeting" He concluded that the mean return for stocks is positive only for days immediately before and during the first half of calendar months, and indistinguishable from zero for days during the last half Financial time series may be characterized by We find a striking pattern ofreturn continuation at half-hourintervals that areexact multiples of a trading day, and this effect lasts for at least 40 trading There are non-linearities in the mean and especially the variance of returns.

Studies have also been done to determine if there is an intra-monthly anomaly. An inverted monthly effect was found in a Pacific basin market. Regarding calendar effects, intraday effects exist, the weekend effect seems to have all but disappeared, intramonth effects were found in most countries, the January effect has halved and holiday effects exist in some countries.

We find a striking pattern ofreturn continuation at half-hourintervals that areexact multiples of a trading day, and this effect lasts for at least 40 trading days. This paper examines Islamic monthly anomalies in a stock market located within a Muslim country — Pakistan. Previous article in issue.

Mcconnell, Wei Xu, John J. Timing trades can reduce execution costs by the equivalent of the effective spread. This paper investigates Islamic calendar anomalies on Pakistani firm-level data.

A stylized fact is a term in economics used to refer to empirical findings that are so consistent across markets that they are accepted as truth. We also show that short-term return reversal is driven by temporary liquidity imbalances lasting less than an hour and bid-ask bounce.

The distribution of returns is non-stationary clustered volatility and approximately symmetric with increasingly positive kurtosis as the time interval decreases and has a power law or Pareto-like tail.

Financial time series may be characterized by the following stylized facts. Thus, during the other 16 trading days of the month, on average, investors received no reward for bearing market risk. The study employs data for companies listed on the Karachi Stock Exchange KSE over the period from to and an asymmetric generalized autoregressive conditional heteroscedasticity model to examine whether the mean value and volatility of share returns in the KSE vary with Islamic months.The Islamic Calendar Effect in Karachi Stock Market Khalid Mustafa* This study used both conditional and unconditional risk analyses to investigate the Islamic calendar effect in Karachi stock market.

In addition, risk is allowed to vary across the month of Islamic calendar.

Five models are used. THE ISLAMIC CALENDAR EFFECT ON KARACHI STOCK MARKET* analyzed the Ramadan effect in Pakistani stock is the simplest test for Islamic calendar effects on stock market.

Statistically. The Ramadan effect: Illusion or reality? Husain () examines the Ramadan effect in the Pakistani stock market and finds that there is a decrease in stock return volatility in Ramadan; however, the mean returns are not significantly different during The tested calendar effects include the January effect, weekend effect, and Christmas.

paper our purpose is to investigate the daily, weekly and monthly calendar effects in Pakistani stock market using daily, weekly and monthly returns calculated from the data of KSE Karachi Stock Exchange index.

A striking example of a datadriven discovery is the presence of calendar effects in stock returns. There appears to be very substantial evidence of systematic abnormal stock returns related to the day of the week, the week of the month, the month of the year, the turn of the month, holidays, and so forth.

Historically, the Pakistan Stock Market (KSE) reached an all time high of in May of and a record low of in June of The Karachi Stock Exchange Index is a major stock market index which tracks the performance of largest companies by market capitalization from each sector of Pakistani economy listed on .

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Calendar effects in the pakistani stock
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