CALENDAR ANOMALIES IN SOUTH ASIAN STOCK MARKETS
Journal Title: Educational Research International - Year 2017, Vol 6, Issue 2
Abstract
This research is conducted to test the calendar anomalies in the five south Asian stock markets namely Colombo Stock Exchange, Dhaka Stock Exchange, Karachi Stock Exchange, Maldives Stock Exchange and Bombay Stock Exchange. Basic OLS model was tested to check the day of the week, week of the month and month of the year effect. Basic model reveals these calendar anomalies in these equity markets but BDS test was applied under the assumption that returns independently and identically distributed this condition reject in all return series and also data contains Heteroscedasticity which shows that results of basic model is not much appropriate, so GARCH-M methodology was used to check the day of the week, week of the month and month of the year effect. The results of daily, weekly and monthly returns confirm the presence of calendar anomalies in the South Asian stock markets.
Authors and Affiliations
Syed Zagham Abbas
Keywords
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