A Study of Day of the Week Effect in Karachi Stock Exchange During Different Political Regimes in Pakistan

Syed Muhammad Majid Shah () and Fahad Abdullah
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Syed Muhammad Majid Shah: Quaid-e-Azam College of Commerce, University of Peshawar
Fahad Abdullah: Institute of Management Sciences, Peshawar

Business & Economic Review, 2015, vol. 7, issue 1, 41-66

Abstract: In this study we attempt to examine the existence of day of the week effect in Karachi Stock Exchange during the three prominent political regimes of PML-N, PPP, and PML-Q, in context of Pakistan using six sub-samples (three on basis of changing trading days, and three on basis of changing political regimes) extracted from the KSE-100 index which is the benchmark of Pakistan’s equity market and is the biggest and most dynamic operational stock exchange of Pakistan having a share of about 70 percent of total stock transition. Dummy variable approach is utilized in this study to uncover the day of the week effect in trading days during the sub-samples. The study finds evidence of existence of significant day of the week effect during the PPP regime with pronounced negative first trading day returns, while no significant negative returns are discovered during the PML-N and PML-Q regimes

Keywords: Pakistan Stock Exchange; regimes; day of the week effect; returns (search for similar items in EconPapers)
JEL-codes: G10 G21 G32 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bec:imsber:v:7:y:2015:i:1:p:41-66

DOI: 10.22547/BER/7.1.3

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