An evidence of calendar effects on the stock market of Pakistan: a case study of (KSE-100 index)

Abstract

This is the study that investigates the Daily impact, weekly impact, and Monthly impact by excluding the holidays for most updated time period through February 1991 to MAY 2015. Study used the dummy variables to explore the independent variables and used stock return as dependent variable. Ordinary least square and descriptive statistics technique is used to examine the data. Middle day effect was proven in the equity market of Pakistan, study also showed first week of the month has more return as compare to any other week in a month. Whereas month wise results showed that month of May had negative return