Journal title
Market Forces

   
Home  /  Market Forces  /  Vol: 9 Núm: 1 Par: 0 (2014)  /  Article
ARTICLE
TITLE

January Effect in Pakistan: A Time Series Analysis

SUMMARY

This study employs daily data from the Karachi Stock Exchange 100 index from 2004-2009 to investigate the presence of the January effect. Our robust econometric modelling reveals anomalous patterns in stock returns around the turn of the year. The anomaly observed in this study, however, was unlikely to represent lucrative arbitrage opportunities at the time  essentially because abnormal returns were not large enough to offset transactions costs. This finding provides confidence and assurance in the operational efficiency ofthe Pakistani capital markets.Key Words: Karachi Stock Exchange, January Effect, Garch Model, Econometric Framework

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