Impact of Calendar Anomalies on Stock Price: A Study of KSE-100 Index

Abstract

This research focuses on the month-of-the-year impact of calendar anomalies at the Pakistan Stock Exchange by using KSE-100 index data for the period running from January 2019 to August 2024. The objectives of this study are, first, to check for the existence of monthly anomalies in the stock market and their influence on stock returns; second, the way calendar anomalies affect financial experts and investors. By performing comprehensive statistical analysis, the research work has done descriptive statistics and Analysis of Variance, through which it identified important fluctuations in returns across different months. To be more precise, April, October, and November always gave positive returns; February and March were found to have a negative trend. In support of this, the results of ANOVA also showed that differences in returns across months are significant, hence establishing the month-of-the-year effect as a noteworthy phenomenon on the KSE-100 index. Practical implications of the findings are such that it suggests awareness of these anomalies can help in enhancing investment strategies by timing investments to receive optimal returns. It also adds to the academic literature in terms of empirical evidence that calendar anomalies exist in emerging markets like Pakistan, thus rejecting the efficient market hypothesis. However, it is confined to the KSE-100 index and a specific period. Hence, there exists a need for further research in different settings. Such an extension into more markets or longer periods should be considered in future research to contribute to a deeper understanding of calendar anomalies and their consequences for financial markets.

Keywords: Calendar Anomalies, Day of the week effect, Month of the week effect.