Abstract:Calendar anomalies are a well-documented phenomena in financial markets. The current study scrutinized calendar anomalies in the context of the local market by analyzing the Pakistan stock exchange. The data from the listed companies of PSX have been considered to test for seasonality in value premium portfolios using OLS regression, general GARCH (1,1), TGARCH, GJR-GARCH, PGARCH, and EGARCH models. The findings suggest that return seasonality among different value premium portfolios explains the economically … Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.