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An Research of the Seasonalities in the Pakistan’s Stock Market: Monday, January and the Ramadan Effect .

In: Business and Management

Submitted By jawadh
Words 21674
Pages 87
An research of the seasonalities in the Pakistan’s Stock Market: Monday, January and the Ramadan Effect .

Hanan Abdul Razaq

10th March 2009

Acknowledgements

I am indebted to my dissertation lecturer for his help and guidance throughout the project.
I would also like to thank my family and friends for their unconditional support and understanding throughout the year specially during the crucial times when my head
Was down but they gave me that extra strength and support to push forward and
Complete this project on time.

Abstract

In recent years, we have observed an increase in interest from both individuals’ institutions and investors in emerging markets. It’s important for the investors to know whether the market is efficient, inefficient or neutral.

This study wishes to document the Pakistani market and their Stock Exchange by looking at the existence of Calendar Anomalies such Monday effect and the January effect.

Secondly this study investigates the presence of the so-called Moving Calendar anomaly, the “Ramadan Effect”.

The following three indices are used: KSE-100, LSE-25 and ISE-10.
An OLS regression and a GARCH (1,1) methodology will be used for the testing daily, weekly and monthly returns.

The findings of this study shows the existence of Monday effect in ISE-10 index using the OLS methodology, however this effect wasn’t present using GARCH (1,1). By sub-sampling we observed the presence of Monday effect in KSE-100 before 2002.There are significantly higher returns on Wednesdays and Fridays for all the three indices.
January effect was not present in any of the three indices.

There wasn’t a strong evidence of a significantly negative returns during the month of...

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