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EVIDENCE OF MONTHLY ANOMALIES IN PAKISTAN STOCK EXCHANGE

Archives of Business Research

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Field Value
 
Title EVIDENCE OF MONTHLY ANOMALIES IN PAKISTAN STOCK EXCHANGE
 
Creator Shamshir, Musarrat
Baig, Jawwad Mirza
Mustafa, khalid
 
Description The study is an extended effort to investigate the monthly anomalies across Pakistani stock market, on four stock indices of Pakistan stock exchange by using the data from previously known as Karachi stock exchange for the period from January 01, 2009 to August 31, 2014.  The study is a unique attempt of its kind to include all four indices for exploring turn-of-the-month and month-of-the-year effects with special consideration of tax-loss-selling hypothesis for the month of July for conventional January effect. Evidences of turn-of-the-month effect were found in indices except for KSE-30 and KMI-30 index. The study also found significant January returns evident in all four indices; however the effect cannot be contributed to tax-loss-selling hypothesis. Optimistic attitudes towards the year ahead and liquidity preference seem to be related with the heavy buying. July effect is found to exist in the market which may be contributed to tax-loss-selling hypothesis. Although, KSE-30 and KMI-30 indices were found to demonstrate atypical results as compared to the rest of the indices, yet it is concluded that stock market of Pakistan is not devoid of monthly anomalies.
 
Publisher Archives of Business Research
 
Contributor —
 
Date 2016-12-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.scholarpublishing.org/index.php/ABR/article/view/2515
10.14738/abr.46.2515
 
Source Archives of Business Research; Vol 4, No 6 (2016): Archives of Business Research
2054-7404
10.14738/abr.46.2016
 
Language eng
 
Relation http://www.scholarpublishing.org/index.php/ABR/article/view/2515/1413
 
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