文章基本信息

标题：Presence of Day-of-the-Week Effect in the Karachi Stock Market
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作者：Musarrat Shamshir ; Khalid Mustafa
期刊名称：Research Journal of Finance and Accounting
印刷版ISSN：2222-1697
出版年度：2014
卷号：5
期号：19
页码：46-58
语种：English
出版社：The International Institute for Science, Technology and Education (IISTE)
摘要：This study investigates the day-of-the week (DOW) effect and volatility in Karachi Stock Exchange (KSE), from 2009-2013, using all four indices in the exchange. The objective is to assess the reliability of the four indices working at KSE, from investor perspective of portfolio and risk management of KSE. By using OLS and autoregressive technique with lagged value of returns the study shows Tuesday and Thursday effect in case of KSE-100 and KSE-all share respectively. No DOW effect in KSE-30 and in KMI-30 indices found. This is in favour of the free-floating concept of shares in these indices. The GARCH (1,1) technique with student’s t distribution revealed highly persistent volatility in KSE-100 index, comparatively less persistent shocks in KSE-all share and KSE-30 index and a rapid decay in KMI-30.
关键词：Day-of-the-week effect; KSE-100 index; KSE-30 index; KMI-30 index; KSE-all share index; GARCH (1;1)