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COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Author

Listed:
  • Naz Farah

    (Kinnaird College for Women, Lahore, Punjab, Pakistan.)

  • Lutfullah Tooba

    (Kinnaird College for Women, Lahore, Punjab, Pakistan.)

  • Zahra Kanwal

    (University of Central Punjab, Lahore, Punjab, Pakistan.)

Abstract

The current study scrutinizes the calendar anomalies in the context of the local market by analyzing the Pakistan Stock Exchange (PSX). For this purpose, closing prices of KSE-100, KSE-30 and KSE-All share Index from January, 2009 to June, 2021 have been used as well as a thorough individual firm level analysis is done, taking average log-returns of selected sample firms returns using OLS regression, general GARCH (1,1), asymmetric TGARCH and PGARCH models. The results indicate monthly seasonality, with significant April, July, and September effect in PSX indices returns. The findings of the study reveal that weak form inefficiency exists in Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. Due to global pandemic conditions, investor psychology investors turned circumspect. Consequently, the individual firms’ trading has also reduced.

Suggested Citation

  • 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.
    • Handle: RePEc:vrs:zirebs:v:27:y:2024:i:1:p:201-230:n:1010
    DOI: 10.2478/zireb-2024-0010
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    More about this item

    Keywords

    month-of-the-year effect; July Effect; Tax loss selling hypothesis; Pakistan stock exchange; calendar effect; July Effect; Tax loss selling;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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