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标题：Calendar anomalies: Case of Karachi Stock Exchange
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作者：Nousheen Zafar ; Syeda Faiza Urooj ; Sumayya Chughtai 等
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2012
卷号：6
期号：24
页码：7261-7271
DOI：10.5897/AJBM11.1847
语种：English
出版社：Academic Journals
摘要：Calendar anomalies can be defined as any irregularity or consistent pattern that cannot be defined by means of any accepted theory of finance. This study has been conducted to find out holiday effect and half month effect in Karachi Stock Exchange (KSE). Our data for this study has been obtained from KSE 100 index which is a capital weighted index and consists of 100 companies and represent about 86% of the total market capitalization of the Exchange. Index of all listed shares is calculated at the end of trading day at closing prices. Data pertaining to the daily stock index has been gathered for the period starting from November, 1991 to December, 2007. Daily logarithmic market returns are then calculated from this data for testing different calendar effects. Data was further divided into two parts based on change of working days in a week. Our results reveal that the returns in pre-holidays have been found significant than post-holidays. Also, the average returns in the first half of the month are significantly higher than the other half of the month. Thus, we can say that Karachi Stock Market is an inefficient market and has an anomalous behavior towards returns.
关键词：Calendar anomalies; Karachi Stock Exchange (KSE); average returns