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Anomalies in Karachi Stock Market: Day of the Week Effect

Author

Listed:
  • Nishat, Muhammad

    (Professor and Chairman, Finance and Economics, Institute of Business Administration, Karachi,Pakistan)

  • Mustafa, Khalid

    (Assistant Professor, Department of Economics, University of Karachi, Pakistan)

Abstract

Most of the research in financial market investigates systematic patterns in return and volume. The systematic pattern in financial market is against the efficient market hypothesis. One of the systematic patterns is the day of the week effect. Stock prices should be higher on the first day of the week than the other days of the week because the time between closing of the week and starting of the week is three days as compared to other days of the week (French 1980). It implies that daily trading activity should be three times higher on first day of the week as compared to other days of the week. However, the empirical studies totally negate this theory. For instance, US capital market reflects lowest return on Monday (first day) and highest return on Friday (fifth day) as compared to other trading days. Cross (1973), French (1980), Gibbons and Hess (1981), Keim and Stambaugh (1984), Lakonishok and Smidt (1987) found abnormally low return on Monday. Abnormally high returns were observed in different days in different studies. For example, Fields (1931) found highest return on Saturday, Cross (1973) on Friday, French (1980) found the highest return on Wednesday and Friday

Suggested Citation

  • Nishat, Muhammad & Mustafa, Khalid, 2002. "Anomalies in Karachi Stock Market: Day of the Week Effect," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 28(3), pages 55-64, September.
    • Handle: RePEc:ris:badest:0436
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    Citations

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    Cited by:

    1. Sadia Anjum, 2020. "Impact of market anomalies on stock exchange: a comparative study of KSE and PSX," Future Business Journal, Springer, vol. 6(1), pages 1-11, December.
    2. Weber Christoph S. & Nickol Philipp, 2016. "More on Calendar Effects on Islamic Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 12(1), pages 65-113, April.
    3. Syed Muhammad Majid Shah & Fahad Abdullah, 2015. "A Study of Day of the Week Effect in Karachi Stock Exchange During Different Political Regimes in Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(1), pages 41-66, April.
    4. 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.
    5. 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.
    6. James Mark Gbeda & James Atta Peprah, 2018. "Day of the week effect and stock market volatility in Ghana and Nairobi stock exchanges," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(4), pages 727-745, October.

    More about this item

    Keywords

    Anomalies; Karachi Stock Market; Week Effect;
    All these keywords.

    JEL classification:

    • A10 - General Economics and Teaching - - General Economics - - - General

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