Anomalies in Karachi Stock Market: Day of the Week Effect

Muhammad Nishat and Khalid Mustafa
Additional contact information
Muhammad Nishat: Professor and Chairman, Finance and Economics, Institute of Business Administration, Karachi,Pakistan
Khalid Mustafa: Assistant Professor, Department of Economics, University of Karachi, Pakistan

Bangladesh Development Studies, 2002, vol. 28, issue 3, 55-64

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

Keywords: Anomalies; Karachi Stock Market; Week Effect (search for similar items in EconPapers)
JEL-codes: A10 (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (6)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ris:badest:0436

Access Statistics for this article

Bangladesh Development Studies is currently edited by Dr. Binayak Sen

More articles in Bangladesh Development Studies from Bangladesh Institute of Development Studies (BIDS) E-17, Agargaon, Sher-E-Bangla Nagar, Dhaka 1207. Contact information at EDIRC.
Bibliographic data for series maintained by Meftaur Rahman, Cheif Publication Officer, BIDS ().