Impact of Calendar Anomalies on Stock Market: Results from Pakistan

Journal of Contemporary Management Sciences: Volume 1, Issue 1, Spring 2015

22 Pages Posted: 23 Aug 2018

See all articles by Salman Ali Qureshi

Salman Ali Qureshi

Allama Iqbal Open University - Department of Business Administration

Ahmed Imran Hunjra

University of Waikato; Pir Mehr Ali Shah Arid Agriculture University Rawalpindi (PMAS)

Date Written: 2015

Abstract

In relation to the economic fundamentals of the equity, technical trading rules, and economic calendar events, there are some anomalies. In the non-investing world, anomalies have odd or strange presence. Security prices show information available in efficient market where anomalies are referred when securities act opposite to the market. The main objective of the study is to examine the impact of Day of the week and January effect on stock returns, to analyse the existence of anomalies and significance of market efficiency hypothesis. For analysis the data sample period is from 1992 to 2013, while daily returns are for day of the week effect while monthly for January effect. For day of the week effect, it has been found a mix of results in two sessions, first from 1992 to 1997 effect exist, while later till 2013 there are insignificant results. For January effect, the results show no existence. The investors and policy makers should take into account these trends and make policies in order to get benefit from these anomalies. They can bring changes in it by making policies and influence the trend of the market.

Keywords: calendar anomalies, anomalies, stock market

Suggested Citation

Ali Qureshi, Salman and Hunjra, Ahmed Imran, Impact of Calendar Anomalies on Stock Market: Results from Pakistan (2015). Journal of Contemporary Management Sciences: Volume 1, Issue 1, Spring 2015. Available at SSRN: https://ssrn.com/abstract=3229717

Salman Ali Qureshi

Allama Iqbal Open University - Department of Business Administration

Sector H-8
Islamabad, Punjab 44000
Pakistan

Ahmed Imran Hunjra (Contact Author)

University of Waikato ( email )

Te Raupapa
Private Bag 3105
Hamilton, 3240
New Zealand

Pir Mehr Ali Shah Arid Agriculture University Rawalpindi (PMAS) ( email )

Muree Road Rawalpindi
Shamsabad, Punjab 44000
Pakistan
00923457162527 (Phone)

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