COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Naz Farah (), Lutfullah Tooba and Zahra Kanwal
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Naz Farah: Kinnaird College for Women, Lahore, Punjab, Pakistan.
Lutfullah Tooba: Kinnaird College for Women, Lahore, Punjab, Pakistan.
Zahra Kanwal: University of Central Punjab, Lahore, Punjab, Pakistan.

Zagreb International Review of Economics and Business, 2024, vol. 27, issue 1, 201-230

Abstract: The current study scrutinizes the calendar anomalies in the context of the local market by analyzing the Pakistan Stock Exchange (PSX). For this purpose, closing prices of KSE-100, KSE-30 and KSE-All share Index from January, 2009 to June, 2021 have been used as well as a thorough individual firm level analysis is done, taking average log-returns of selected sample firms returns using OLS regression, general GARCH (1,1), asymmetric TGARCH and PGARCH models. The results indicate monthly seasonality, with significant April, July, and September effect in PSX indices returns. The findings of the study reveal that weak form inefficiency exists in Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. Due to global pandemic conditions, investor psychology investors turned circumspect. Consequently, the individual firms’ trading has also reduced.

Keywords: month-of-the-year effect; July Effect; Tax loss selling hypothesis; Pakistan stock exchange; calendar effect; July Effect; Tax loss selling (search for similar items in EconPapers)
JEL-codes: C53 C58 E32 E4 G1 G14 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:zirebs:v:27:y:2024:i:1:p:201-230:n:1010

DOI: 10.2478/zireb-2024-0010

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