The Day of the Week Effect in the Pakistani Equity Market: An Investigation

Fazal Husain ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the day of the week effect in the Pakistani equity market. Using daily data on eight sector indices as well as the general market index from January 1989 to December 1993, the analysis did not find, in general, significant differences in stock returns across trading days in the market. An overtime analysis indicates the presence of this anomaly in the period before the market was opened to international investors which disappeared in the later periods.

Keywords: Day Effect; Pakistan; Seasonality; Equity Market; Efficiency (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2000
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Published in Lahore Journal of Economics 1.5(2000): pp. 93-97

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:5268

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