The Month of the Year Effect on Dhaka Stock Exchange

Abstract

This study investigated the presence of month of the year (MOY) effect in Dhaka Stock Exchange (DSE), Bangladesh with the data from 2000 to 2012 of DSE all share index (DSI), DSE – 20 index (DSE – 20) and DSE general index (DGEN). DSE indexes were fluctuated more over the last couple of years and the only one previous study was conducted based on only DSI index as per our knowledge. The present study has made progress not only in relationship to documenting the month of year effect but also in highlighting potential explanations for its presence. Several hypotheses have been formulated; student’s t – statistics, ANOVA and dummy variable regression model were used in the study. The conclusion of all the findings is that the significant month of the year effect presents in DSE. So, investors can outperform the market and this is against in principle of market efficiency.