Abstract
This paper investigates the calendar anomalies in Karachi Stock Exchange (KSE) of Pakistan, during 2002-04 periods. The data for this study was taken from KSE 100, involving the daily stock exchange and were tested for turn of the month and time of the month effects. The results, regarding mean returns showed the presence of both effects. Results after regression analysis didn’t show the presence of Turn of the Month (TOM) effect in KSE. Slight evidence was witnessed regarding the time of the month effect in KSE, which confirmed the presence of anomalies and proved the market inefficiency. Limitations to this study are the time period, which was short. Future studies may consider a longer period of time for testing KSE, regarding the calendar anomalies. Key words: Turn of the Month (TOM), Karachi Stock Exchange (KSE), Calendar Anomalies, Pakistan, KSE-100 index, Investor’s psychology in Pakistan.
Highlights
Efficient market hypothesis postulates that all information should be correctly reflected in the prices of securities and if the markets are efficient abnormal profits are not possible
The difference was witnessed among the mean returns for TOM and Rest of the Month (ROM) period
The primary objective of the study was to check for existence of efficiency of Karachi Stock exchange (KSE), by studying it for the existence of anomalies
Summary
Efficient market hypothesis postulates that all information should be correctly reflected in the prices of securities and if the markets are efficient abnormal profits are not possible. Prices of securities cannot be predicted as they follow random walk pattern (Malkiel, 2003). Refers to any deviation from efficient market hypothesis. Calendar anomalies refer to the existence of any irregularities, fluctuations, or the specific pattern, occurring in a recurring manner during a definite time within a year. These types of anomalies prove out to be a severe threat to the market efficiency as the patterns become predictable making the abnormal profits possible
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
