Calendar Anomalies in Stock Market: A Case of KSE 100 Index

Abstract

This paper aims to investigate the calendar anomalies in Karachi Stock exchange by using KSE 100 index during the period of 2008 to 2012. The study examined the existence of week days, weekend and monthly seasonal anomalies. These calendar effects are examined by applying different statistical techniques. First of all series of daily and monthly returns were calculated. Then mean and standard deviation of daily and monthly returns were calculated. The values of mean and standard deviation have rejected the first two null hypothesis and accepted the third one. The results provide an evidence for the existence of calendar anomalies at KSE 100 index. The results showed that there is significant difference among the returns of days of the week, and Friday has highest mean average return which makes it confirm that weekend effect exists at KSE. Finally monthly anomaly in stock returns is also present because there is highest positive return in the month of March.    

Keywords. Stock Market, Anomalies, weekday effect, weekend effect, monthly effect, Return.