Calendar Anomalies in Pakistani Stock Returns and Return Volatility

摘要

Prior studies investigating monthly calendar anomalies in Pakistan have presented contrasting conclusions and not accounted for volatility in returns. This paper investigates monthly anomalies in the Pakistani stock market using an asymmetric GARCH model across a 17-year time period at firm-level to examine whether the mean and volatility of share returns vary across different months. Since the findings of prior studies have been mixed, the current study undertakes further work on this topic to offer some clarity in the area. The paper's major findings offer little statistical evidence of a monthly seasonal anomaly in mean returns however the findings indicate that anomalies are more prominent for monthly patterns in the volatility of returns.