Comparing the Anomalies between Pakistan, India and UK

Abstract

This study is intended to carry out a comparative analysis of stock markets of Pakistan, India and UK for which the indices under study are KSE 100, S&P BSE SENSEX and FTSE 100, respectively. This research will be assessing daily data for two years (i.e. from January 2013 to December 2014), weekly data for five years (i.e. from January 2010 to December 2014) and monthly data for ten years (i.e. from January 2005 to December 2014). The model comprises of the Daily effect, the Weekly effect and the Monthly effect as independent variables where as stock returns as dependant variable, respectively for each anomaly. Data will be collected from secondary sources including different financial journals and websites like EBSCO, KSE, BSE, LSE, Yahoo Finance and Brecorder, etc. For analysis, Ordinary Least Squares (OLS), Descriptive Statistics, Correlation, Unit Root Test and Dummy Variables would be used. The results confirmed the presence of daily and monthly seasonalities in all the three indices which proves that U.K. stock market is not strong form efficient. Also the data used was stationary. In the end some recommendations have also been made regarding future works.

Keywords: Efficient Market Hypothesis, Stock Exchanges, “Day-of-the-Week” Effect, “Week-of-the-Month” Effect, “Month-of-the-Year” Effect, Dummy Variables and OLS