The Day of the Week Effect in the Pakistani Equity Market: An Investigation
AbstractThis 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 5268.
Date of creation: 2000
Date of revision:
Publication status: Published in Lahore Journal of Economics 1.5(2000): pp. 93-97
Day Effect; Pakistan; Seasonality; Equity Market; Efficiency;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- Javed Iqbal & Aziz Haider, 2005.
"Arbitrage Pricing Theory: Evidence From An Emerging Stock Market,"
Lahore Journal of Economics,
Department of Economics, The Lahore School of Economics, vol. 10(1), pages 123-139, Jan-Jun.
- 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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