Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange

2021 ◽  
pp. 2141006
Author(s):  
Farah Naz ◽  
Kanwal Zahra ◽  
Muhammad Ahmad ◽  
Salman Riaz
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Investment Strategy ◽  
Ordinary Least Squares ◽  
Financial Decision ◽  
Day Of The Week ◽  
Timing Strategies ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Sector Returns

This study scrutinizes the day-of-the-week effect anomaly in the context of market and industry analysis of the Pakistan stock exchange. For this purpose, daily closing prices of KSE-100, KSE-30, and KSE-All Share Index from January 01, 2009 to December 31, 2018, have been used. Similarly, sector returns are also calculated, taking average log-returns of selected sample firms. To analyze the data ordinary least squares (OLS) regression, general generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) as well as asymmetric threshold GARCH (TGARCH) and exponential GARCH (EGARCH) models have been employed to model the leverage effect of good and bad news on market volatility. The results indicate the evidence of daily seasonality, with significant Monday and Wednesday effect in PSX indices returns as well as in most of the industry returns. Monday is found to be the day with the highest average returns with the highest return volatility. The findings of the study reveal that there exists a weak form of inefficiency in the Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. In terms of return predictability, this study is essential for international and domestic investors and it may affect their investment strategy and return management. The results might be interesting to the financial experts as they ponder the available conditions in the capital market for financial decision-making. This study is one of its first kind that includes both indices as well as industry returns for analysis of manufacturing industries in Pakistan stock exchange.

ANOMALI PASAR PADA RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA: FENOMENA THE DAY OF WEEK EFFECT, WEEK FOUR EFFECT, ROGALSKY EFFECT, DAN JANUARY EFFECT

2016 ◽  
Vol 12 (1) ◽  
pp. 51
Author(s):  
Reza Widhar Pahlevi
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Efficient Markets ◽  
Efficient Market ◽  
Market Anomalies ◽  
Day Of The Week

Market anomalies appears on all forms of efficient markets, both weak form, semi-strong and strongform. But plenty of evidence to link the anomaly with semi-strong form efficient market exploited togenerate abnormal returns. Market anomalies that is often discussed is the Day of the Week Effect,January Effect, Week Four Effect and other market anomalies. Empirical research is intended todetermine whether there is the phenomenon of the day of the week effect, week four effect, the effectrogalsky and January effect on LQ 45 stocks in the Indonesia Stock Exchange year period 2014-2015.Based on the analysis of data, shows that there is the phenomenon of the day of week effect on thecompany LQ-45 in Indonesia Stock Exchange 2014-2015 period, there is the phenomenon of weekfour effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period, there are phenomenonRogalski Effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period and there is no Januaryeffect phenomenon in the LQ-45 in Indonesia Stock Exchange 2014-2015 period.Keywords: the day of the week effect, week four effect, rogalsky effect and january effect

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals The Monday effect on the Johannesburg Stock Exchange

1985 ◽  
Vol 16 (1) ◽  
pp. 7-11 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Weekend Effect ◽  
The Other ◽  
Expected Returns ◽  
Calendar Time ◽  
Expected Return ◽  
Average Return ◽  
Day Of The Week

The efficient market hypothesis submits that the expected returns on shares and other financial assets are identical for all the days of the week. Studies of share returns on the New York Stock Exchange have revealed that the expected returns are not identical for the various days of the week. This article examines two hypotheses that have attempted to explain the distribution of returns over different days of the week. The calendar-time hypothesis states that the expected return for Monday is three times the expected return for the other days of the week. The trading-time hypothesis states that the expected return is the same for each day of the week. During the period 1978-1983, the daily returns on shares traded on the JSE were inconsistent with both hypotheses. The average return for Monday was significantly negative while the average return for the other trading days was positive with Wednesday showing the highest return. Evidence is presented to show that Treasury Bills have the same weekend effect as share transactions. An investment strategy based on the observed pattern of share returns over different days of the week is suggested. The implications of the effect of day of the week for tests of market efficiency are examined.

scholarly journals ANOMALI EFEK KALENDER PADA RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (5) ◽  
pp. 2642
Author(s):  
Komang Intan Permatasari ◽  
I Ketut Mustanda
Keyword(s):  
Data Collection ◽  
Stock Prices ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Participant Observation ◽  
Abnormal Returns ◽  
Stock Index ◽  
January Effect ◽  
Average Abnormal Return ◽  
Day Of The Week

Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia. Keywords: calendar effect anomaly, abnormal return

scholarly journals Market Reaction to Dividend Announcements During Pandemic: An Event Study

2021 ◽  
pp. 097226292110662
Author(s):  
Nisha Prakash ◽  
Yogesh L
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Primary Objective ◽  
Market Reactions ◽  
The Difference ◽  
Stock Market Reactions

This study analyses the difference in stock market reactions to dividend announcement during the pandemic. The thirty constituent stocks of Sensex, the index of Bombay Stock Exchange (BSE), is used for analysis. This allows cross-industry comparison of the market reaction. The study examines stock market reactions covering 44 days around the dividend announcement dates. The primary objective of this study is to understand whether the price adjustment linked to the dividend announcement news during the pandemic was different from the earlier years. This empirical study employs the conventional event study methodology using abnormal returns (ARs) to examine the stock market reaction to dividend announcement. The market reaction to dividend announcement was increasingly positive during the pandemic, compared to previous years. The statistical pooled t-tests showed there was a significant relationship between the pandemic and ARs. The findings also indicate that the difference in the market reaction to dividend announcement was more prominent in services stocks than that in manufacturing. Further, the results also verify the weak-form of efficiency of Indian stock exchange.

scholarly journals Day-of-the-week effect in Nigerian stock exchange: adaptive market hypothesis approach

2020 ◽  
Vol 17 (1) ◽  
pp. 97-108
Author(s):  
Anthony Olugbenga Adaramola ◽  
Kehinde Oladeji Adekanmbi
Keyword(s):  
Stock Market ◽  
Time Variation ◽  
Stock Exchange ◽  
Market Condition ◽  
Time Varying ◽  
Full Sample ◽  
Day Of The Week ◽  
The Mean ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Over Time

The problems that this study informed are rooted in the uncertainty surrounding the presence of calendar anomalies in the Nigerian stock market and the need to ascertain whether calendar anomaly is changing with time and market condition according to the adaptive market hypothesis. This study evaluates how calendar anomaly behaves over time in the Nigerian stock market through the day-of-the-week effect since the latest trend is to examine time-changing anomaly. The general All Share Index returns of the Nigerian Stock Exchange between 2000 and 2017 are used in the analysis. Secondary daily index returns data for the period are sourced from the NSE Fact Book. The major estimation techniques employed in the study are the mean equations of the generalized autoregressive conditional heteroscedasticity (GARCH) and overlapping sub-period methodology. Moreover, returns are grouped into Up and Down periods depending on the periods that generate positive and negative returns, respectively. This study found out that Monday (MON), Tuesday (TUE), and Friday (FRI) effects are the only adaptive day-of-the-week effects. Thus, three (MON, TUE, FRI) day of the week effects found in the full sample are time-varying in subsample and are affected by market condition. On the whole, MON and Thursday (THUR) effects are found in Bull, while TUE and FRI are found in Bear. The investor must be careful to take time-variation into consideration; otherwise, they may incur a loss by thinking that the day-of-the-week effect is present every time.

scholarly journals The Predictability and profitability of Trading Range Break-out Trading Rules: Evidence from Pakistan Stock Exchange

2021 ◽  
Vol 6 (1) ◽  
pp. 209-215
Author(s):  
Syed Arshad Ali Shah ◽  
Dr.Anwarul Mujahid Shah ◽  
Dr.Saiful Mujahid shah
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Strong Support ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Share Prices ◽  
Academic Literature

The efficient market hypothesis has been one of themost extensively researched topics in the academic literature for decades. An implication ofweak form of efficiency is that the technical trading rules will not produce abnormal returns. The purpose of this research is to analyze findings of application of trading range breakout test on daily closing share prices of 100 companies listed on a Pakistan Stock Exchange over ten years from 2006 to 2015,thus examining its efficiency at the weak form. The results show strong support for trading range break-out rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of the trading range break-out rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

scholarly journals Testing Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data

2020 ◽  
Vol 6 (1) ◽  
pp. 1-10
Author(s):  
Syed Arshad Ali Shah ◽  
Naimat Ullah Khan ◽  
Muhammad Daud Ali
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Moving Average ◽  
Abnormal Returns ◽  
Strong Support ◽  
Weak Form ◽  
Firm Level ◽  
Technical Trading Rules ◽  
Share Prices ◽  
Level Data

This study examines market efficiency in the light of the simple moving average technical trading rules on daily closing share prices of 100 companies listed on Pakistan Stock Exchange over ten years from 2006 to 2015. The results show strong support for simple moving average rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of these simple moving average rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

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