This study aims to examine the presence of calendar and seasonal anomalies in the Pakistan Stock Exchange (PSX), focusing on the KSE-100 index and sectoral stocks, to evaluate their implications for market efficiency and investor strategy.
Used the daily returns data of KSE-100 index and 30 sectoral stocks (July 2019 to June 2024), Generalized Linear Models have been used to test anomalies such as day of the week effect, December effect, Turn of the Month (TOM), Turn of the Year (TOY), and Islamic Festive Month effect.
The analysis identifies distinct calendar anomalies, with TOM effect demonstrating the highest significance, yielding elevated returns in cyclical sectors such as cement, banking and energy. Sectoral disparities emerge in DOW patterns: the KSE-100 index and banking stocks exhibit a Monday decline, while chemicals and textiles show mid-week price surges (Thursday/Friday), reflecting delayed reactions to news or sector-specific trading cycles. December Effect marks mixed returns tied to year-end portfolio disclosures. Islamic festive months reveal asymmetric impacts, with a significant impact only in the pharmaceutical and oil and gas sectors.
This study’s focus on high-market-cap sectors and a five-year period may limit generalizability. Future research could extend the timeframe, incorporate more sectoral entities and explore macroeconomic linkages.
To the best of the authors’ knowledge, this study is among the first to identify various calendar/seasonal anomalies, specifically the Islamic Festive Month effect in PSX, using KSE-100 index returns along with daily returns of 30 different stocks in 17 sectors, making this paper a comprehensive document.
