Abstract
The purpose of the study is to investigate the impact of market anomalies (days of the week), political shocks, and COVID-19 on Pakistan Stock Exchange (PSX). The analysis employs dummy variables for capturing the effects of the variables i.e., days of the week, political shocks, and COVID-19. Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) model was used for the empirical research of the volatility of stock returns by using a sample period of daily data from 11 January 2016 to 30 April 2021. Result showed that Friday had a negative, and Wednesday had a significant positive impact on stock returns. While Monday, Tuesday and Thursday were found insignificant. Twenty-two notable political shocks were investigated during the study period except the visit of Saudi-Prince King Salman. A decrease in oil prices during March-2020 showed no impact on stock return, while other political shocks significantly affected stock returns. Moreover, COVID -19 waves had a significant positive effect on stock returns
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