Abstract:
This study was aimed to identify calendar anomalies on Pakistan Stock Exchange. To test for the anomalies nine years daily closing prices for KSE 30 index have been analyzed. The study is conducted in short term and long term period. It is found that in day of the week the average return for Monday is negative for all the periods studied and Monday was also found to be anomalous in behavior. January had shown positive mean returns in all of the periods. Positive April and negative December are found significant in short term periodswhile negative August was found significant in long term period. First and second short term periods i.e. 2008-2010 is the sub period that is not affected by day of the week effect while 2011-2013 is not found to be affected by the day of the week effect plus month of the year effect too.
