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The turn-of-the-month effect in Pakistani stock market

Author

Listed:
  • Muhammad Sarmad Irtiza

    (Foundation University Islamabad)

  • Shahbaz Khan

    (Foundation University Islamabad)

  • Nida Baig

    (Fatima Jinnah Women University)

  • Syed Muhammad Ali Tirmizi

    (Foundation University Islamabad)

  • Ilyas Ahmad

    (University of Education)

Abstract

This research intends to explore the presence of the “turn-of-the-month-effect (TOME)” in the Pakistani stock market. The TOME is the temporary increase in prices of registered shares on the last operating day of the month and the initial 3–4 days of the following month. The selection incorporates the secondary data, which comprises the ending prices of the “KSE-100 Index” for 2013–2018. Contrary to the previous evidence in Pakistan, we run an in-depth year-wise analysis and report an interesting fact that the TOME is significant only during 2013–2016, while it vanishes for 2017 and 2018. We suggest that the “turn-of-the-month” anomaly may disappear during stock market crisis times. The research contains significant importance for potential shareholders because a rational shareholder considers several measures while making his investment decisions and constructing hedging strategies.

Suggested Citation

  • Muhammad Sarmad Irtiza & Shahbaz Khan & Nida Baig & Syed Muhammad Ali Tirmizi & Ilyas Ahmad, 2021. "The turn-of-the-month effect in Pakistani stock market," Future Business Journal, Springer, vol. 7(1), pages 1-11, December.
    • Handle: RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00087-4
    DOI: 10.1186/s43093-021-00087-4
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