Abstract
This study aimed at finding the presence of January effect in Karachi
stock market. Logarithmic daily data of KSE-100 index for period
ranging from 1st January 2004 to 31st December 2014 was used. KSE100 index was selected because index represents the market.
Kolmogorov-Smirnov, Shapiro-Wilk, Jarque-Bera tests were used for
normality and ADF test for data stationarity. To analyze the data OLS
regression, GARCH, EGARCH and TGARCH models were used to test
the presence of seasonality. The results revealed a positive significant
January effect along with significant negative May and August returns.
Furthermore it was observed that highest returns occur in the month of
January and lowest returns occur in the month of May. The outcome of
this study can be used by investors to formulate better strategies to
generate excess returns considering presence of monthly effects. Since
market efficiency anomalies work as a gauge or a yard stick to measure
the market efficiency, we can conclude that Karachi stock market is an
inefficient market.
Irfan Ullah, Sabeeh Ullah, Farzand Ali. (2016) Market Efficiency Anomalies: A Study of January Effect In Karachi Stock Market , Journal of Managerial Sciences, Volume 10, Issue 1.
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