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The Day of the Week Effect in the Pakistani Equity Market: An Investigation

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  • Husain, Fazal

Abstract

This paper investigates the day of the week effect in the Pakistani equity market. Using daily data on eight sector indices as well as the general market index from January 1989 to December 1993, the analysis did not find, in general, significant differences in stock returns across trading days in the market. An overtime analysis indicates the presence of this anomaly in the period before the market was opened to international investors which disappeared in the later periods.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5268.

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Date of creation: 2000
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Publication status: Published in Lahore Journal of Economics 1.5(2000): pp. 93-97
Handle: RePEc:pra:mprapa:5268

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Related research

Keywords: Day Effect; Pakistan; Seasonality; Equity Market; Efficiency;

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References

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  1. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 39(3), pages 819-35, July.
  2. Rogalski, Richard J, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 39(3), pages 835-37, July.
  3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 55-69, March.
  4. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 54(4), pages 579-96, October.
  5. Jaffe, Jeffrey & Westerfield, Randolph, 1985. "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 20(02), pages 261-272, June.
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Cited by:
  1. Iqbal, Javed & Haider, Aziz, 2005. "Arbitrage pricing theory: evidence from an emerging stock market," MPRA Paper 8699, University Library of Munich, Germany.

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