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Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan)

Author

Listed:
  • Faryad Hussain

    () (Department of Management Sciences, Muhammad Ali Jinnah University Islamabad, Pakistan)

  • Kashif Hamid

    () (Institute of Business Management Sciences, University of Agriculture-Faisalabad, Pakistan)

  • Rana Shahid Imdad Akash

    () (Department of Business Administration, International Islamic University Islamabad, Pakistan)

  • Majid Imdad Khan

    () (Department of Management Sciences, Muhammad Ali Jinnah University Islamabad, Pakistan)

Abstract

Day of the week effect study is focused as a stock market anomaly on the equity market practices in Pakistan. The modus-operandi applicable in this research consists of daily stock prices concerned to KSE-100 Index, for the period January 2006 to December 2010. The working week for trade matters consist of five days. Study concludes that Tuesday returns are quite significant and positive. Hence it is inferred that there exists day effect in Pakistani stock market. The returns of Tuesday on an average are greater in comparison to rest of the days. The regression analysis is performed to meet the thrust of this study.

Suggested Citation

  • Faryad Hussain & Kashif Hamid & Rana Shahid Imdad Akash & Majid Imdad Khan, 2011. "Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan)," Far East Journal of Psychology and Business, Far East Research Centre, vol. 3(3), pages 25-31, April.
  • Handle: RePEc:fej:articl:v:3a:y:2011:i:3:p:25-31
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    References listed on IDEAS

    as
    1. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-889, June.
    2. Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, University Library of Munich, Germany.
    3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Abdelkader Derbali & Slaheddine Hallara & David McMillan, 2016. "Day-of-the-week effect on the Tunisian stock market return and volatility," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1147111-114, December.
    2. Sumra Abbas & Attiya Yasmin Javid, 2015. "The Day-of-the-Week Anomaly in Market Returns, Volume and Volatility in SAARC Countries," PIDE-Working Papers 2015:129, Pakistan Institute of Development Economics.
    3. Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015. "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 64-73.

    More about this item

    Keywords

    Returns; KSE-100; Monday Effect; Regression;

    JEL classification:

    • M1 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration

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