The turn-of-the-month effect in Pakistani stock market

Muhammad Sarmad Irtiza, Shahbaz Khan (), Nida Baig, Syed Muhammad Ali Tirmizi and Ilyas Ahmad
Additional contact information
Muhammad Sarmad Irtiza: Foundation University Islamabad
Shahbaz Khan: Foundation University Islamabad
Nida Baig: Fatima Jinnah Women University
Syed Muhammad Ali Tirmizi: Foundation University Islamabad
Ilyas Ahmad: University of Education

Future Business Journal, 2021, vol. 7, issue 1, 1-11

Abstract: Abstract This research intends to explore the presence of the “turn-of-the-month-effect (TOME)” in the Pakistani stock market. The TOME is the temporary increase in prices of registered shares on the last operating day of the month and the initial 3–4 days of the following month. The selection incorporates the secondary data, which comprises the ending prices of the “KSE-100 Index” for 2013–2018. Contrary to the previous evidence in Pakistan, we run an in-depth year-wise analysis and report an interesting fact that the TOME is significant only during 2013–2016, while it vanishes for 2017 and 2018. We suggest that the “turn-of-the-month” anomaly may disappear during stock market crisis times. The research contains significant importance for potential shareholders because a rational shareholder considers several measures while making his investment decisions and constructing hedging strategies.

Keywords: Turn-of-the-month-effect; KSE-100 Index; Calendar anomalies; Efficient market hypothesis; G1; G10; G140 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1186/s43093-021-00087-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00087-4

Ordering information: This journal article can be ordered from
https://fbj.springeropen.com/

DOI: 10.1186/s43093-021-00087-4

Access Statistics for this article

Future Business Journal is currently edited by Soad Kamel Rizk and Hayam Wahba

More articles in Future Business Journal from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().