Test of Calendar Anomalies in Derivative Market of Pakistan in Context of Covid Environment

Abstract

The aim of this study is to analyze impact and existence of three Calendar Anomalies i.e., day-of-the-week, month-of-the-year, and turn-of-the-month on the commodities i.e., gold, silver, natural gas, oil, and platinum that are traded on the Pakistan Mercantile Exchange (PMEX). The impact of calendar anomalies is investigated separately during and before COVID period. The simple OLS regression along with the three advanced models of Autoregressive Conditional Heteroskedasticity i.e., GARCH (1,1), TGARCH and EGARCH models are used in this research to study the calendar anomalies impact. The significant effect of day-of-the-week anomaly is observed in oil and silver commodity. Month-of-the-year anomaly exists in all commodities except oil. Whereas, significant turn-of-the-month effect is present in all the selected top traded commodities. This study is limited to different periods due to the newly launch commodities of PMEX. PMEX started daily data of silver, platinum, and natural gas from the year 2017, therefore only four commodities have been included in the current research. Keywords: Calendar Anomalies, Day-of-the-Week Anomaly, Month-of-the-Year Anomaly, Turn-of-the-Year Anomaly, COVID.