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Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan)

Author

Listed:
  • Faryad Hussain

    (Department of Management Sciences, Muhammad Ali Jinnah University Islamabad, Pakistan)

  • Kashif Hamid

    (Institute of Business Management Sciences, University of Agriculture-Faisalabad, Pakistan)

  • Rana Shahid Imdad Akash

    (Department of Business Administration, International Islamic University Islamabad, Pakistan)

  • Majid Imdad Khan

    (Department of Management Sciences, Muhammad Ali Jinnah University Islamabad, Pakistan)

Abstract

Day of the week effect study is focused as a stock market anomaly on the equity market practices in Pakistan. The modus-operandi applicable in this research consists of daily stock prices concerned to KSE-100 Index, for the period January 2006 to December 2010. The working week for trade matters consist of five days. Study concludes that Tuesday returns are quite significant and positive. Hence it is inferred that there exists day effect in Pakistani stock market. The returns of Tuesday on an average are greater in comparison to rest of the days. The regression analysis is performed to meet the thrust of this study.

Suggested Citation

  • Faryad Hussain & Kashif Hamid & Rana Shahid Imdad Akash & Majid Imdad Khan, 2011. "Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan)," Far East Journal of Psychology and Business, Far East Research Centre, vol. 3(3), pages 25-31, April.
    • Handle: RePEc:fej:articl:v:3a:y:2011:i:3:p:25-31
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    References listed on IDEAS

    as
    1. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    2. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90.
    3. Lakonishok, Josef & Levi, Maurice, 1982. "Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-889, June.
    4. Ercan Balaban, 1994. "Day of the Week Effects : New Evidence from an Emerging Stock Market," Discussion Papers 9410, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
    6. Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, University Library of Munich, Germany.
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    Cited by:

    1. Naz Farah & Lutfullah Tooba & Zahra Kanwal, 2024. "COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 201-230.
    2. Abdelkader Derbali & Slaheddine Hallara, 2016. "Day-of-the-week effect on the Tunisian stock market return and volatility," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1147111-114, December.
    3. Muhammad Tariq & Dr.Alam Raza & Azizullah & Ghulam Mustafa Shaikh, 2016. "Investing The Pricing Of Exchange Rate Risk In The Stock Market: Evidence From Pakistan Stock Market," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 12(2), pages 87-102.
    4. Badal Khan & Muhammad Aqil & Syed Hasnain Alam Kazmi & Syed Imran Zaman, 2023. "Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 544-561, January.
    5. Weber Christoph S. & Nickol Philipp, 2016. "More on Calendar Effects on Islamic Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 12(1), pages 65-113, April.
    6. Syed Muhammad Majid Shah & Fahad Abdullah, 2015. "A Study of Day of the Week Effect in Karachi Stock Exchange During Different Political Regimes in Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(1), pages 41-66, April.
    7. Sumra Abbas & Attiya Yasmin Javid, 2015. "The Day-of-the-Week Anomaly in Market Returns, Volume and Volatility in SAARC Countries," PIDE-Working Papers 2015:129, Pakistan Institute of Development Economics.
    8. Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015. "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 64-73.

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    More about this item

    Keywords

    Returns; KSE-100; Monday Effect; Regression;
    All these keywords.

    JEL classification:

    • M1 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration

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