FINANCIAL VERSUS NON-FINANCIAL PAKISTAN STOCK EXCHANGE LISTED FIRMS REVISITED
Journal: International Journal of Management (IJM) (Vol.12, No. 2)Publication Date: 2021-02-28
Authors : Madia Javed Muhammad Naveed;
Page : 490-504
Keywords : Seasonal Importance; Daily Pakistan Stock Exchange Market Return; Day of the week; Month of the year; Turn of the month; Descriptive statistics; Quantile regression.;
Abstract
The basic purpose of this study is to identify the seasonal importance on daily Stock Exchange Market returns of financial and non-financial listed firms in Pakistan Stock Exchange Market and to suggest policy recommendations based on empirical findings. This study is using an unbalanced panel dataset of 694 financial and non-financial listed firms in Pakistan Stock Exchange Market. Our main focus is on the reaction of three main calendar anomalies namely; Day-of-the-week, Turn-of-the-month and Month of the year. The study utilizes the daily stock return's data of the Pakistan Stock Exchange for the period ranging from January 2001 to December 2018 for analysis. The collected secondary data are analyzed by Descriptive Statistics and Quantile Regression. The results of the descriptive statistic reveal the highest Monday mean returns as compared to the other day of the week. The mean returns of the month, January found higher as compared to other months of the year. Whereas, turn of the month (from 23rd day of previous month to 9th day of the current month) performing low as compare to rest of the days of the month. Furthermore, values of quantile regression of day of the week, month of the year and turn of the month are more significant in case of financial firms as compare to non financial firms
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