The Day of the Week Effect in the Pakistani Equity Market: An Investigation
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.
|Date of creation:||2000|
|Publication status:||Published in Lahore Journal of Economics 1.5(2000): pp. 93-97|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Rogalski, Richard J, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 835-837, July.
- Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
- Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- 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, vol. 20(02), pages 261-272, June.
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