10th January 2024

Research proposal
Written by Nimra Shabbir
TOPIC:
Impact of market anomalies on stock exchange: a
comparative study of KSE and PSX
ABSTRACT:
The purpose of this paper is to empirically investigate the
effects of three market anomalies: day-of-the-week,
weekend, and monthly effects on the Pakistan stock
market before and after PSX's establishment (January and
July). The paper developed numerous relapse examination
utilizing faker factors utilizing least squares, Curve and
EGARCH-in-mean models. Breusch-Godfrey sequential
relationship LM test is utilized to look at the sequential
relationship in the return series and Wald coefficient
limitation test to assess joint significance of the sham
coefficients. Be that as it may, Box-Jenkins (ARIMA)
strategy is utilized to assess the best ft of time series
model to the past qualities
of that time series. The aftereffects of the review uncover
the most elevated Friday mean returns and least, however
not negative Monday mean returns. Moreover, the review
demonstrates that December mean returns are high in
Karachi Stock Trade
what's more, walk returns are high on account of Pakistan
Stock Trade. This is the first study to assess the effect of
three market peculiarities earlier and after the foundation
of Pakistan Stock Trade.
Keywords: Market inconsistencies, KSE, PSX, Stock
returns, EMH, Orderly examples.

INTRODUCTION
Efficient examples in financial market are hopeless to the
efficient market speculation (EMH),1 as stock market
returns can be anticipated utilizing these efficient designs.
These designs influence the efficiency of stock market
being about market peculiarities. Among these precise
examples, one of the normal inconsistencies is the day-of-
the-week effect. The fundamental end in such manner is
the most noteworthy Friday mean returns and least
(typically regrettable) Monday means returns [19, 27, 28,
39, 41]. French [27] focused on that Monday returns
ought to be multiple times higher than the mean returns of
different days as the time range between shutting and
beginning of week is three days. Ferri et al. [25] found
high Monday returns in the bill markets. Raj and Kumari
[53] uncovered positive Monday mean returns in Indian
securities exchange. Choudhry [17] assessed most
noteworthy mean Monday returns in the value markets of
India, Malaysia, Taiwan, South Korea, Indonesia,
Philippines and Thailand. Going against the norm, a few
examinations likewise went against the positive mean
Monday returns.
For example, the capital market of USA portrays the
most noteworthy Friday, however, the most minimal and
now and again regrettable Monday returns [15]. Ajayi et
al. [ 2] likewise tracked down regrettable Monday returns
in six EEEMs. The presence of high mean returns on
different days of the week has been confirmed by many
examinations. For case, Dubois and Louvet [22] showed
most elevated returns in the end of the week for Hong
Kong, European nations and Canada. Agrawal and
Tandon [1] tracked down the most elevated mean returns
at the end of the week for 19 nations. Jafe and Westerfeld
[33] found Tuesday effect in Australian and Japanese
financial markets. Broca [12] showed Wednesday effect
in capital market of India. Be that as it may, Malaikah
[46] and Aybar [9] could not find day-of-the-week effect
in Saudi Arabia, Turkey also, Kuwait. The Japanese
financial market returned the most on Wednesday, but the
least on Tuesday, according to Kato [36].
Nishat [48] identifed inconsistencies, for example, size
effect and liquidity effect in KSE. Be that as it may,
Hussain [31] and Al Khazali [6] tracked down no
methodical examples for Pakistan and UAE capital
business sectors, individually. The weekend effect, the
month-of-the-year effect, and other market anomalies are
all related. The fundamental decision about month-of-the-
year means that returns are high in January [29, 38, 56].
On the other hand, this idea was also rejected by some
studies. For example, Raj and Kumar [53] and Ignatius
[32] noticed no certain January effects for Indian financial
exchange. Floros [26] and Olowe [50] noticed no January
effect for Greek and Nigerian financial exchanges. A few
different investigations reasoned that the January effect
relates to the frm size; e.g., in January, small
capitalization firms perform better. Lee and Chang [44]
noticed frm size effect in Korean securities exchange. On
the other hand, there are concentrates on which didn't
finish up any end of the week designs. Depen Chuk et al. [
21] proved unable notice any end of the week efect in
Ukrainian financial exchange. In accordance with these
examinations, the target of the prese study is to research
the efficient examples as day-of the-week efect, end of the
week efect and month-of-the-year effect in KSE and PSX
as a near examination. Besides, the current review is a
step in the right direction to grasp these deliberate
examples and their effect on the instructive efficiency of
securities exchange.
Pakistan Stock Exchange (PSX)
Pakistan Stock Exchange was established on January 11,
2016, following the merger of the three stock exchanges
in Islamabad, Lahore, and Karachi. In May 2017, Pakistan
Stock Trade is owing to be a piece of MSCI Arising
Market File. Tere are almost 400 financier houses and 21
resource the board organizations which are individuals
from PSX.

Theoretical framework
Hypothetical system in the writing, a significant measure
of hypothetical conversation has been accessible that
market peculiarities become a reason for outperformance
of securities exchange and affect its efficiency.
Day‑of‑the‑week efect
Numerous speculations have been planned to expound the
day-of-the-week efect. The following are examples:

Settlement period speculation

It expresses that return is high on pay-in days and falling
short on payout days. In any case, a few specialists stand
against this thought as different markets are probably
going to have different settlement dates. Agrawal and
Tandon [1] saw that as settl8ement period is 6-15 days
(about 2 weeks) in UK and 1 day in Hong
Kong.
Trading‑/calendar‑time speculation
It is credited that as there is a whole of 3 days from Friday
shutting to Monday opening, Monday mean returns ought
to be multiple times higher than the profits of other
weekdays. In any case, different specialists saw negative
Monday returns. For example, the capital market of USA
portrays the most minimal and occasionally regrettable
Monday returns [15]. Therefore, another speculation was
viewed as that expresses that profits ought to relate to the
exchanging days. During the non-trading period, negative
returns were found by Rogalski [55].
Retail financial backer exchanging speculation. It
states that exchanging movement of little and enormous
firms is high and falling short on Monday, separately
[13].
Month‑of‑the‑year efect
Numerous speculations have been developed to make
sense of the period of-the-year efect. A portion of these is
as follows:
Tax‑loss selling speculation
It stresses that those firms which face a decrease in stock
in the last half piece of the year ordinarily gain high Profit
in January of the following year [11, 35]. Lee and Chang
[44], Lee [43] and Athanasios [8] found positive January
returns.
Rebalancing theory
It manages excessive liquidity of the financial backers in
the month of January, because of which January returns
are high
[10, 45, 52].
Other seasonal effects
There are several other seasonal effects in addition to the
daily and monthly effects. Returns are low after holidays,
according to Ariel [7]. [23] Dyl and Maberly; Kolb and
Rodriguez [40]; what's more, Depen Chuk et al. [21] saw
that as mean returns are high around the month's end.
Sheep et al. [42] set aside that during spring opportunity,
mean returns are normally negative.
Audit of the writing
Tere exists complete writing that observes the
effect of market peculiarities on the instructive efficiency
of the financial exchange. We examine it as follows.
Ferri et al. [25] found sporadic presence of the day-of-the-
week efect in the bill market by utilizing three-month
charges and utilizing Box-Jenkins time series procedures.

LITERATURE REVIEW
Lee and Chang [44] analyzed the instructive efficiency of
the Korean market and reasoned that frm size effect is
available just for exchanging period returns and the
January efect is available in the non-exchanging period.
Kato [36] researched the financial exchange of Japan and
closed low Tuesday and high Wednesday returns by
utilizing basic relapse model. Chang et al. [ 15] utilized
information
from 2500 supplies of 24 different nations, among
which36 records were of modern gatherings and showed
that day-of-the-week efect isn't hearty to the example size
what's more, the blunder term changes in US financial
exchange. Faf and McKenzie [24] utilized GARCH model
which contained an AR mean condition by utilizing faker
factors and inspected seven public business sectors (UK,
Spain, Germany, USA, Switzerland, Japan and Australia)
to examine the effect of presentation of fates exchanging
on the stock records. This study came after Chang et al.
[15] and reasoned that exchanging of fates has no effect
on irregularity of the stock returns. Ignatius [32] assessed
the relationship of the irregularity of Bombay Stock
Trade (BSE)- recorded stock gets back with the
irregularity of New York Stock Trade (NYSE)- recorded
stock returns. By utilizing relapse examination, the review
finished up the closeness in the return examples of both
stock trades. The results showed that December has the
most noteworthy month-to-month returns and the fourth
seven day stretch of December has the most noteworthy
week by week returns. Nishat and Mustafa [49] tracked
down the most reduced returns on Monday and the best
yields on Friday in KSE. The concentrates on utilized
straightforward mean also, middle methodology and look
at the unpredictability by utilizing GARCH model.
Demirer and Karan [20] analyzed day to day, begin often-
month and mid-month effects in Istanbul Stock Trade
(ISE). According to these findings, there was no Monday
effect, but there were high Friday returns. Additionally,
no proof is found for mid-of -the-month and beginning-
of-the-month effects. Ajayi et al. [ 2] analyzed day-of-the-
week efect in 11 Eastern European developing business
sectors (EEEMs) by utilizing traditional time series
examination and increased Dickey-Fuller test for
stationarity. The observational outcomes found positive
Monday returns in five of EEEMs and negative Monday
returns in excess six of EEEMs. Using a stochastic
dominance approach, Al-Khazali [6] examined UAE
capital markets to empirically evaluate the effect of thin
trading on the day-of-the-week effect. The concentrate on
underlined that when estimation predispositions which stir
from dainty exchanging process were eliminated, then the
day-of-the-week efect vanished consequently. The study
followed Ajayi et al. [2]. Al-Khazali et al. [ 5] utilized
stochastic predominance way to deal with look at the
Saturday efect in the stock markets of Kuwait, Saudi
Arabia and Bahrain by considering dainty exchanging
process. Te study accentuated as Al-Khazali [6] did, that
when estimation inclinations which stimulate from
meager exchanging process were taken out, Saturday
efect vanished naturally. Sivapalan [56] inspected a few
OECD nations and arising economies to assess the month-
to-month market inconsistency. The study utilized
Franse's test, Beaulieu-Miron test and Canova
furthermore, Hansen [14] LM tests and found January
efect exists in a significant number of these securities
exchanges. Raj and Kumari [53] analyzed day-of-the-
week effected of the week efect and January/April efect in
Indian stock market by utilizing different factual
strategies. The concentrate on inferred that January effect
is missing and Monday returns are positive in Indian
securities exchange. Depen Chuk et al. [ 21] analyzed end
of the week, January and turn-of-the month (TOM)
effects in the stock and security markets of Ukraine.
Utilizing Wilcoxon sign-ranked tests, parametric,
nonparametric2 tests such as the t test, and the Chi-
square, this study demonstrated the absence of the
weekend effect and the January effect, while the turn-of-
the-month effect is present. Floros [26] explored Greek
securities exchange assess the effect of exchanging month
and month to month effects by using a customary least
square (OLS) model. The concentration gave proof to
high April returns. In setting of exchanging month efect,
that's what the review reasoned over the first 15 days
(about 2 weeks) of the month, the mean returns are high.
By Using the EGARCH-in-mean model, Olowe [50]
suggested that the Nigerian stock market did not have a
month-of-the-year effect. Philpot and Peterson [51]
finished up a writing survey to reason that exploration
works pre-2003 years noticed positive Friday and
negative Monday returns, yet research works following
2003 years seen that now this efect is turning around,
disappearing or moving to other weekdays. Nipponia and
Greenhut [47] followed Philpot and Peterson [51] and
closed that Canadian business sectors gave proof to the
presence of positive Friday and negative Monday returns,
However, after 1988, this efect turned around. Tilica and
Oprea [57] followed Nipponia and Greenhut [47] and
found the nonexistence of positive Friday mean returns in
Romanian financial exchange. Keef et al. [ 37] by
utilizing board relapse and considering information of 50
nations, inferred that Monday awful efect and non-
Monday terrible efect decline after some time. Al-Isiss [4]
tracked down a positive pattern in the stock market during
the long stretch of Ramadan and a negative pattern during
Ashura connected with the Shia people group of as
country. Javaria and Hassan [34] uncovered the
nonexistence of group conduct in the everyday and month
to month stock returns of Karachi Stock Trade. Akhtar
and Khan [3] investigated the instability of KSE-100 list.
Also, GARCH models, the review proposed that week
after week, day to day and month to month stock returns
show unpredictability, stationarity and nonnormal
conveyance of KSE returns.
Methods
This area talked about information and procedures
embraced in this review.
Data
The informational index is involved month to month, day
to day and week by week returns of KSE and PSX. The
KSE informational index comprises of the period from 02
January 2004 to 10 January 2016. As Pakistan Stock
Trade was laid out on 11 January 2019, PSX
informational index is contained the period from 11
January 2016 to 30 April 2019. The information about
PSX and KSE was gathered from the official Site of PSX.
To ascertain the market peculiarities, shutting returns are
used.
Modelling Framework
This study assesses the effect of market inconsistencies
with sham factors in a different relapse examination
utilizing least squares, Curve and EGARCH-in-mean
models. Breusch-Godfrey sequential relationship LM test
is utilized to check the sequential relationship in the
return series. Stock returns might have nonsymmetric
properties, and due to time-shifting fluctuation in the
series, result would be
as inefficient gauges. This concentrate on settling this
issue by building Curve and EGARCH-in mean models.
The Wald test has been utilized to assess the cooperative
significance of all fakers/inconsistency's coefficients.
Besides, Box-Jenkins (ARIMA) strategy is utilized by the
review to assess the best fit of time series model to the
past upsides of that time series.
The tests utilized by the review are associated with
parametric and nonparametric gatherings to inspect
different theories referenced previously. The day to day
returns are being determined as follows:
where it alludes to the file cost and Rt alludes to the stock
returns on quickly (t).
Rt = ln( lt /(t−1)) × 100

Day‑of‑the‑week efect
The concentrate on developed the accompanying
condition to assess the day-of-the-week efect by utilizing
five fakers from Monday to Friday.
Rt = ω1D1 + ω2D2 + ω3D3 + ω4D4 + ω5D5 + φt
where Rt is the return as discussed in Eq. (1). ω1, ω2,
ω3…, ω5 are dummy coefficients which indicate mean
returns of each day of the week. D1, D2, D3,…,D5 are
dummy variables for each day of the week, which are
either 0 or 1. Φt is the white noise or error term for any
day (t).
Hypothesis(H0): ω1 = ω2 = ω3 = ω4 = ω5 = 0
H0 emphasizes that all the days of the week have joint/
similar return patterns. If the empirical results reject this
hypothesis, it will mean that there exists seasonality in the
stock market. The study also tests the significance of daily
returns, i.e. ω1, ω2, ω3...,ω5, to evaluate to what extent
they differ from zero. The signs of these coefficients
indicate whether their difference is zero, positive or
negative.
Weekend effect
The study empirically evaluated these two hypotheses to
check the impact of weekend effect:
Trading-time hypothesis:
This hypothesis emphasizes that Monday mean returns
are higher than other days of the week: where Rt is the
mean return on any day (t). ψ1 is the expected Monday
mean returns; ψ2, ψ3, ψ4 and ψ5 are dummy coefficients
and represent the difference between expected Monday
mean returns and the returns on other days of the week.
D2, D3, D4 and D5 are dummy variables for each day of
the week, which are either 0 or 1: If this hypothesis is
significant, it means that there exists a variation between
Monday returns and returns on other days of the week.
Calendar-time hypothesis This hypothesis emphasizes
that returns on Monday are three times higher than the
returns on other days of the week.
Rt = ψ1 + ψ2D2t−1 + ψ3D3t−1 + ψ4D4t−1 + ψ5D5t−1 +
φt
where Rt are mean returns on any day (t). Ϫ1 is the
expected one-third mean Monday returns. Ϫ2, Ϫ3, Ϫ4 and
Ϫ5 are dummy coefficients and show the difference
between mean returns of other days of the week and one-
third of Monday returns. D2, D3, D4 and D5 are dummy
variables, which are either 0 or 1.
Rt = ω1D1 + ω2D2 + ω3D3 + ω4D4 + ω5D5 + φt
Hypothesis(H0) : ω1 = ω2 = ω3 = ω4 = ω5 = 0
Table 1 LM test for serial correlation
KSE
Variables Coefficients t-statistics Probability
D1 3.143523 2.92E−13 0.0000***
D2 1.696332 −1.57E−14 0.0000***
D3 8.536229 −0.793516 0.0025***
D4 0.104725 0.009734 0.0000***
D5 7.936333 −7.37E−14 0.0000***
F-statistics 546339.5 Prob. F 0.0000***
(2,321)
Obs*R2 3699.456 Prob. Chi 0.0000***
square (2)
R2:0.996621

PSX
Variables Coefficients t-statistics Probability

D1 1.074341 6.60E−14 0.0000***

D2 7.365634 4.53E−15 0.0000***
D3 7.584364 4.66E−14 0.0000***
D4 0.042336 −0.258312 0.0003***
D5 0.006111 −0.037283 0.0003***
F-statistics 1086.793 Prob. F 0.0000***
(2,321)
Obs*R2 285.7934 Prob. Chi 0.0000***
square (2)
R2:
0.871321
*Denotes significance at 10 per cent, **significance at
5 per cent and ***significance at 1 per cent
Hypothesis(H0): ω1 = ω2 = ω3 = ω4 = ω5 = 0
Assuming this speculation is significant, it intends that
there exists a variety between 33% of Monday mean
endlessly returns on different days of the week.
This concentrate on explored the schedule time and
exchanging time speculations for KSE and PSX as
Pakistan Stock
Trade presently has completely electronic exchanging
framework with
T+3 settlement period.
The following equation was used in the study to evaluate
the month-of-the-year effect as well as the January effect
and the portfolio rebalancing hypothesis:
Rt = δ1 + δiDit + φt
where Rt represents the monthly return on any month (t).
δ1 is the expected January mean returns. δit is the dummy
coefficient and shows the difference between expected
January returns and returns in other months. Dit is the
dummy variable for each month-of-the-year, which is
either 0 or 1:
Hypothesis (H0) : δ2 = δ3 = δ4 = δ5 =, ... , = δ12 = 0
July efect/tax-loss selling hypothesis The study utilized
this test to examine the tax-loss selling hypothesis in KSE
and PSX: where Rt is the monthly return on any month
(t). δ1 is the expected July mean returns. δit is dummies
coefficient and shows the difference between expected
July returns
Rt = δ1 + δiDit + φt (5)
Hypothesis (H0): δ2 = δ3 = δ4 = δ5 =, ... , = δ12 = 0. Rt
=δ
The rejection of this hypothesis means that there exists a
variation between expected July returns and returns in
other calendar months. In Pakistan, financial year is
closed on June 30. Therefore, the study evaluated July
efect. This study examined the tax-loss selling hypothesis
and portfolio rebalancing hypothesis in the context of
KSE and PSX.

RESULTS
This segment relates to the experimental assessments of the
study. These assessments are as per the following:
There are two types of weekday effect estimation: a) day-of the-
week effect and (b) end of the week Effect.
Table 1 shows the outcomes for sequential connection and
reasons that there is no sequential relationship in KSE and PSX
day to day bring series back. Tables 2, 3 and 4 demonstrate the
day-of the-week and end of the week results for KSE and PSX.
The p values show that all differentiated fakers are signifcant at
1% degree of signifcance for KSE and PSX,
and that implies that everyday returns are diferent on every day
of the week. Results further show that Friday returns
are higher when contrasted with other week days and Monday
returns are most minimal, yet all the same not negative. Te most
minimal Monday
mean returns give proof that financial backers hang on the
data from Friday shutting to Monday opening and
show reluctance to contribute on Monday opening due
to the aggregation of the data. In addition, the findings disprove
the trading-time and calendar-time hypotheses for both the KSE
and PSX. In addition, the results show that returns tend to rise as
we move from Monday to Friday. The outcomes are steady with
Cornell [18], Keim and Stambaugh [39],
Hess [30] and French [27].
Te concentrate on analyzed the joint signifcance of invalid
theory (H0) coefcients by utilizing Wald coefcient limitation
test. The outcomes are shown in Table 5.
Wald coefcient results demonstrate that H0 can be
dismissed, and that implies that profits design is diferent for
every day of the week.
ARIMA results give proof to the best ft of
time series model to the past upsides of the time series
for both KSE and PSX.
Month‑of‑the‑year efect
Tables 7, 8 and 9 address the month to month results for KSE
also, PSX. Table 10 addresses the aftereffects of LM test for
sequential relationship.
The findings indicate that there is no serial correlation between
the monthly returns for the KSE and PSX.
The results indicate that the p values for the KSE and PSX are
significant at 1%. KSE month to month results give the proof
that December returns are most elevated
also, January returns are most reduced, yet all at once not
negative. As we
move from January to December, stock returns show an
expanding pattern. Tese results are steady with Raj
what's more, Kumari [53] and Raj and Turston [54]. However,
PSX monthly returns demonstrate that March's returns were the
highest. PSX returns show blended variety from
January to December all through the chose time of
the review. Tese results are reliable with Chatterjee
also, Maniam [16] and Keim [38]. Both KSE and PSX
results give proof to the nonexistence of portfolio rebalancing
and charge misfortune selling speculations in Pakistan financial
exchanges. Te results nullify the presence of
July effect.
Conversation
Tis concentrate on inspected a couple of speculations. Future
examination can be led to look at different speculations
too, for example settlement period theory and retail financial
backer exchanging speculation.
Investors profit unexpectedly from systematic patterns in the
stock market. Policymakers can
make appropriate strategies for efcient securities exchange by
looking at the precise patterns in the stock returns.
End
Te concentrate on closed about day to day returns that Friday
returns are most elevated when contrasted with different long
stretches of
the week and Monday returns are least, yet not negative. As a
result, the trading-time and calendar-time hypotheses do not
apply to the PSX or KSE. Month to month returns demonstrate
the nonexistence of January and July efects in the
instances of KSE and PSX. In KSE, month to month returns are
high
in December, and in PSX, month to month returns are high in
Walk. Therefore, neither the KSE nor the PSX support the tax-
loss selling or portfolio rebalancing hypotheses. Both The
markets do not indicate any effect in July.
Breusch-Godfrey sequential connection LM test results
finish up the nonexistence of sequential connection in KSE
furthermore, PSX returns, and Box-Jenkins (ARIMA) model
gives proof to the best ft of time series model
to the past upsides of the time series.
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