Calendar anomalousnesss have long been portion of market tradition. Surveies of the day-of-the-week, vacation and January effects foremost began to look in the 1930s and although faculty members have merely late begun earnestly to analyze these return forms, they have found them to last near survey. Calendar regularities by and large occur at cusps in clip the bend of the twelvemonth, the month, the hebdomad, the twenty-four hours and the Holidays. They frequently have important economic impact. For illustration, the “ Blue Mon- twenty-four hours ” consequence was so strong during the Great Depression that the full market clang took topographic point over weekends, from Saturday ‘s stopping point to Monday ‘s stopping point. The stock market really rose on mean every other twenty-four hours of the hebdomad ( Jacobs and Levy, 1988 ) . It was found that stock market returns for the yearss old to vacations are significantly higher than returns for other yearss ( Lakonishok and Smidt, 1987 ) While Pre-holiday and other twenty-four hours ‘s returns differ significantly, preholiday returns differ by vacation, house size, and twenty-four hours of the hebdomad on which the vacation falls. Assorted theories have been proposed to explicate the type of return bring forthing procedure nearby vacations. Since vacations are frequently considered another type of market shutting, similar to weekends, it seems sensible that an account for one aid explicate the other. For illustration, if the weekend consequence have be explained by decision actions, so this instance is relevant because vacations can detain decision for up to two yearss and have an consequence on returns up to a hebdomad old to the vacation ( Pettengill, 1989 )

Vacation differences appear reasonably changeless over clip. In the most recent decennary, nevertheless, pre-holiday returns have non been exceeding. But the consequence does non look to be a statistical object. The colony procedure discuss as a possible account for the twenty-four hours of the hebdomad consequence has complex deduction for fluctuations in value about holidays. For illustration this theory predicts a high Thursday return continuing a Friday vacation, which is what occurs. But it forecast a lower than mean Friday return predating a Monday vacation, and this is non consistent with practical consequences. Furthermore, the size of any value alterations happening because of colony processs is much excessively little to account for the vacation consequence. Abnormal pre-holiday returns are non attributable to increased hazard. Another position is afforded by vacations non associated with market shuttings, like St. Patrick ‘s Day or Rosh Hashanah. Such yearss do non see unnatural returns. The absence of unnatural returns may be due to the deficiency of a trading interruption or to a lower degree of event than that associated with major market vacations ( Jacobs and N. Levy, 1988 ) . One of the perplexing empirical findings reported in recent surveies is the presence of abnormally high stock returns on the twenty-four hours before vacations ( Kim and Park, 1994 ) .

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The purpose of the survey is to detect the Effect of Calendar Holidays on Stock return. Stock return is higher before vacation or after the vacation. This Study is detecting on Karachi Stock Exchange ( KSE ) . TheA Karachi Stock ExchangeA is aA stock exchangeA situated inA Karachi, A Pakistan, established on 18 September, 1947 it started with 5 companies with a capital of Rs. 37 million. It is Pakistan ‘s biggest and oldest stock exchange, with a batch of Pakistani every bit good as abroad listings. Its present premises are placed on Stock Exchange Road, in the bosom of Karachi ‘s Business District. KSE starts with a 50 portions index. As the market develops a representative index was needed. In hapless political status, societal issues, fiscal and other jobs, KSE played a critical function in the economic system of Pakistan. KSE 100-index showed a return of 40.19 % and became the 6th best markets in the twelvemonth 2007. It gets a biggest milepost by touching of KSE-100 Index degree of 15,000 for the first clip in the history of Karachi stock exchange on 20 April, 2008. On the other manus, the rise of 7.4 per centum in 2008 build-up the best performing artist in all the emerging market. As at June 1, 2009 there were 651 companies listed at KSE with market capitalisation of US $ 26.48 billion holding listed capital of US $ 9.65 billion. The KSE 100TM Index closed at 9645 points on 19 June, 2010. Although by 30th July entire market capitalization of the KSE reached Rs2.95 trillion, about around 35 billion dollars ( Safi Ullah Khan and Faisal Rizwan, 2008 ) .

Karachi Stock Exchange 100 IndexA ( KSE-100 Index ) is aA stock indexA moving as a criterion to compare monetary values on theA Karachi Stock ExchangeA ( KSE ) over a period of clip. In formative representative companies to cipher the index on, companies with the maximumA market capitalizationA are selected. On the other manus, to guarantee maximal market representation, the company with the maximal market capitalisation from each sector is besides incorporated. Karachi Stock Exchange is the largest and most liquid exchange in Pakistan.

Statement of job:

To happen the Effect of Calendar vacations on the stock return.


Stock returns on the twenty-four hours before vacation is higher than the twenty-four hours after vacation.

1.3 Outline of the Study

The remainder of the paper is organized as follows. Chapter 2 describes the Literature reappraisal used for the survey. Chapter 3 discusses Research Methods where to specify the calander vacation and utilizing mated sample T-test. Research provide descriptive statistics and mated sample T-test analyses to analyse consequence of vacation on stock return. In chapter 4 provide empirical findings and consequence of calender vacations effects. Chapter 5 provides reasoning sum-up of our findings on calendar effects in the Pakistani stock market.

Chapter 2


Money balances are simply one of a figure of extremely liquid assets which the person may see as portion of his liquidness portfolio evaluated by the amount of fiscal and existent assets. A steady rate of growing in the money stock matched with existent growing in economic output has generate no serious longer-run liquidness. One would anticipate the demand for liquidness balances to lift as existent end product and, in return, incomes rises. Under this state of affairs, one may believe as to the forces bring forthing general plus monetary value alteration. Possibly such changes would be associated to the economic point of view, emotional force per unit areas, and changing disposition amongst investors for fiscal assets. In add-on, these forces would be unlinked to money stock. When the economic system ‘s money supply rises, investors come across that the money part of their assets is excessively immense and attempt to recover the wanted portfolio mix by buying other assets such as stocks, obliging their monetary values to increase. Former research on seasonality has found a relationship between the seasonal forms of stock returns and steadfast size. It has found that the weekend consequence is greater for small-firm stocks than for large-firm stocks. Based on the relationship of the above mentioned effects with steadfast size there are some possible accounts for these seasonal forms have been proposed in the finance literature. In relation to the vacation consequence, systematic forms in investor purchasing and merchandising behaviour explain the remarkably high returns observed on the trading yearss old to vacations. If shuting monetary values two yearss before the vacation be given to be recorded at the command while shuting monetary values on the trading twenty-four hours before the vacation are recorded at the ask, so these logical forms would bring forth high returns observed on the trading twenty-four hours old to the vacation. If this is true and so the trading form would be more of import for little house stocks since the comparative bid-ask spread is larger for these stocks ( Kim and Park, 1994 )

Small houses outperform big 1s both on January and non-January preholidays. on the contrary, finds that there are no incremental preholiday returns accruing to little houses after seting day-of-the-week consequence and excepting New Year ‘s Day. To decide this difference of findings, this paper investigates whether the vacation consequence persevere across size decide set ( Kim and Park, 1994 ) .

The survey of the U.S. stock market shows that the vacation consequence exists uniformly across all three major markets and size deciles portfolios. A natural inquiry that arises is whether the vacation consequence is present in the stock markets of states that have different vacations and institutional steps. If the vacation consequence exists across states in unkindness of the differences in vacations and institutional steps, the consequences would drop more visible radiation on possible causes of the vacation consequence ( Kim and Park, 1994 ) .

The survey of vacation consequence is observed in the U.S. S & A ; P 500 index returns for the 1972-1987 periods. The vacation consequence is besides indicant in the Nipponese market for the same period. The average return on the trading twenty-four hours before Nipponese vacations is 0.1897 per centum whereas the average return during ordinary yearss is 0.0435 per centum. The consequences of both the t- trial and non parametric average trial exhibit that the difference of the mean and average returns between preholidays and ordinary yearss is statistically important. For the U.K. FT 30 index, the mean return on the trading twenty-four hours before the U.K. vacation is 0.2228 per centum, which is five times every bit much as the ordinary day-to-day average return of 0.0397 per centum. However, the f-statistic for the difference of the average returns between preholidays and ordinary yearss is somewhat important ( p-value = 0.104 ) , whereas the nonparametric trial statistic exhibits a important difference of the average returns between preholidays and ordinary yearss. The low r-statistic for the U.K. vacation consequence have be due to larger standard divergence of the U.K. stock market returns and fewer observations of the U.K. vacations relative to the U.S. and Japan ( Kim and Park, 1994 ) .

There are many empirical surveies that provide indicant of international linkages of day-to-day stock market returns. Besides the international grounds of the day-of-the-week consequence indicates an association between the stocks returns forms of the U.S. and other markets. Related to the international linkages of stock markets the vacation effects in the U.K. and Nipponese markets are related with the U.S. vacation consequence ( Kim and Park, 1994 ) .

Despite the much higher return, the pre-holiday discrepancy of return is no larger than the return discrepancy for all other yearss ; agencies and discrepancies do non increase proportionally, as would be the instance if the pre-holiday average return, which is 9 to 14 times the mean for the other yearss, resulted from 9 to 14 “ regular ” yearss someway compounded into one twenty-four hours. Rather, it seems an excess constituent of return is added to a regular trading twenty-four hours. Indeed, non merely is the pre-holiday discrepancy no greater than the discrepancy for other yearss, the pre-holiday discrepancy is really lower than the discrepancy of non- pre-holidays. This fact serves to stress that the high pre-holiday return is non a wages for bearing excess hazard ( A. Ariel, 1990 ) .

Significant part of the entire twenty-year cumulative return earned by the market index can be recognized to the returns earned on pre-holidays. The average pre-holiday return exceeds the average return for all non-pre- vacations by factors of 9 and 14 for the every bit and value weighted indices. Therefore the eight pre-holidays jointly equal 72 or 112 non-pre- vacations in their impact on one-year returns. Since there are 251 trading yearss in the mean twelvemonth, vacation returns will represent an undistinguished fraction of the entire return accruing to the indices. High returns predominate merely on the individual trading twenty-four hours old vacations and non on other yearss around the vacation period ( A. Ariel, 1990 ) .

It has been observed that the period of January high returns in fact starts on the last trading twenty-four hours of December. This twenty-four hours is the trading twenty-four hours prior to the New Year and is therefore one of the pre-holidays included in the above trials. Hence, the high January consequence return on the pre-holiday before New Year ‘s may be partly responsible for the statistical significance of the trials reported ( Roll, 1983a ) .

Pre vacation return is the difference between the stopping point to shut monetary values for the calendar yearss old to the vacation. The station vacation return is a two twenty-four hours return which is the difference between the shutting monetary value of the calendar twenty-four hours old to the vacation and that of the twenty-four hours instantly following the vacation. The non vacation return is the return over a one twenty-four hours period, without yearss environing vacations. The differentiation between trading and non trading returns provides impending as to whether the higher return is associated merely with trading in the market, or is a consequence of rating at any rate of trading. This is the fact that the non trading return is besides higher than usual may propose the demand of higher non trading returns to carry bargainers to keep stock lists over non trading periods. Since the higher pre vacation return goes beyond the impact of demand and supply of market trading, it implies that there is a rating constituent in the higher return that does non depend on whether the trading takes place old to vacations. Vacations when exchanges are closed may be considered another signifier of market shutting, like weekends. Therefore, higher returns old to vacation shuttings are related to higher returns before the weekend and before the terminal of the twenty-four hours. To analyze the vacation consequence in the absence of the vacation shuttings, Researher compare the pre vacation returns for vacations when exchanges are unfastened with the non vacation returns ( Fabozzi and Briley, 1994 ) .

Unlike other calendar clip seasonalties, a vacation consequence, if there is one, has be country definite. That is, a vacation is relevant merely to the state or part where it is celebrated. Assetss traded on the universe markets around the clock most likely has be less affected by vacations alone to the United States, for illustration. The legion international hereafters contracts in our sample allow us to prove the significance of the vacation consequence when assets are traded beyond boundary lines or clip zones. Addition of the trading hours has alleviate some of the alone trading form attributable to the information definite to a certain country. The differentiation between international hereafters contracts and domestic hereafters contracts gives farther penetration into the virtue of assorted hypotheses. While non forestall other possibilities, for international hereafters contracts where U.S. trading is non sole the part of the higher pre vacation return ensuing from stock list accommodation has be little, because the stock list hazard over a non trading period is less for international hereafters contracts. At the same clip, the part of positive station vacation returns related with the favourable psychological science has be conserved even in the instance of internationally traded hereafters contracts. In the hereafters market, there is a well higher return for the twenty-four hours old to a vacation. Since the positive vacation consequence is associated more with the domestic exchange closed vacations, this would connote that the return consequence may be related to the stock list accommodation procedure associated with market shuttings. It appears that investors are more loath to take places, particularly short places immediately before vacations ( Fabozzi and Briley, 1994 ) .

Apart from these two chief seasonal effects, there are others like the December terminal Holiday consequence finds that the pre-holiday returns are normally big. Then there is the bend of the month consequence where returns are found to be higher around the terminal of the month. The Friday the Thirteenth consequence suggests that returns on these yearss is negative as compared to other Fridays. The negative returns for the spring and autumn daytime nest eggs clip weekend returns found are non dependable and important.

Vacation effects are non new to the published literature. The vacation surveies find increased returns during the twenty-four hours before a vacation period in many major markets. A response after the vacation is non found. While the vacation consequence is good recognized, what has non been late examined is the current relationship of one exchanges holiday to other exchanges. The present survey examines the traffics of all exchanges upon the return to trading and includes six major exchanges ( Japan, Australia, Hong Kong, London, Canada and the USA ) . The big figure of inter relationships subjective by differences in clip zones attached with the usage of daytime and nightlong returns are particularly insightful. ( Armand Picou, 1999 ) .

Using day-to-day informations on a value-weighted index of all portions in the Netherlands ( 1981 to 1998 ) found abnormally high returns in the 2nd half of December and around the month and negative returns and higher instability on Monday. It was found an April consequence for Ghana stock monetary values contrary to the usual January consequence. It has confirmed the being of seasonality in stock returns in India and the January consequence and that the capital market in India was uneconomical, and therefore, investors can clip their capital investing in Indian stock market to better returns. However, the magnitude of the January consequence depends upon the state and the composing of the index ( Hawanini and Keim as reported by Marquering, 2002 ) . Though the terminal of twelvemonth consequence is more distinguishable for little houses ‘ stocks and as a consequence for every bit leaden indices, it is besides present in value-weighted indices ( Marquering 2002 ) .

Aswath Damodaran ( 1989 ) is consistent grounds that returns on Mondays are more negative than returns on any other twenty-four hours of the hebdomad. Gallic ( 1980 ) , analyzing day-to-day stock returns between 1953 and 1977, notes that the average return on Monday was negative and lower than the mean for any other twenty-four hours of the hebdomad during 20 of the 25 old ages. Keim and Stambaugh ( 1984 ) find negative Monday returns for the S & A ; P 500 every bit early as 1928 and for houses of all sizes. Rogalski ( 1984 ) offers proof that much of the Monday consequence between 1974 and 1983 was due to the monetary value alteration between the stopping point on Friday and the unfastened on Monday and was so really a weekend consequence. Smirlock and Starks ( 1986 ) utilizing hourly values of the Dow Jones Industrial Average over the 1963-1983 period weave up that the weekend consequence has shifted from illustrate active trading on Mondays to exemplify the non trading weekend. Harris ( 1986 ) finds cogent evidence of a size consequence in weekend returns utilizing dealing informations, with much of the negative returns accruing between Friday near and Monday open for big houses and between Friday near and Monday close for smaller houses. While the weekend consequence may be excessively little to give rise to profitable trading policy, it can non be easy clarified off. Gallic comparisons Monday returns with returns after weekdays which are market vacations and weave up that the Monday returns are caused by some weekend consequence instead than by a general closed market consequence. Keim and Stambaugh find negative Monday returns utilizing command monetary values on actively traded OTC stocks and, hence, reject expert related accounts. One hypothesis for the weekend consequence is that houses release bad intelligence toward or after the stopping point on Friday because they fear panic merchandising on fiscal markets. For this to do the negative Monday returns, there has to be a parallel market incompetency since rational investors over clip, expect the bad intelligence ( Damodaran, 1989 ) .

Alagidede ( 2008 ) However, a turning figure of surveies suggest that betas of common stocks do non sufficiently explain transverse sectional differences in stock returns. Alternatively, a figure of variables, such as house size, ratio of book to market, and price/earning ratios, that have no beginning in extant theoretical theoretical accounts, seem to hold important prognostic ability. For illustration, Basu ( 1977 ) and Banz ( 1981 ) found that the ratio of monetary value to net incomes and market capitalisations of common equity, severally, provided significantly more descriptive power than beta. Besides, stock returns are found to be consistently higher or lower depending on the clip of the twenty-four hours, twenty-four hours of the hebdomad, month of the twelvemonth and Holidays ( Alagidede, 2008 ) .

The month-of-the-year and turn-of-the-month consequence postulates that returns are estimated to be higher in the month of January, and particularly, in the first few trading yearss of the month than other months of the twelvemonth. Over the old ages, grounds show that returns observed on yearss old a public vacation are on mean many times greater than returns on other trading yearss ( Alagidede, 2008 ) .

These regularities in stock returns, otherwise known as calendar anomalousnesss ( effects ) , have occupied experimental research on plus pricing theoretical accounts for about half a century, and present an incompatibility in experiential finance: The worlds shed vacillation on the cogency of plus pricing theoretical accounts and hence challenge the belief in stock market efficiency. For instance, investors have buy stocks on yearss ( months ) with remarkably low returns and sell on yearss ( months ) with remarkably high returns. Further, if the pre-holiday consequence holds, it is possible to work out schemes that would give returns over and above bargain and clasp. These would be inconsistent with the efficient markets hypothesis. But as their find seasonal forms in stock returns have failed to give consistent returns over and above bargain and clasp schemes ( Alagidede, 2008 ) .

Trading regulations ensuing from the mentality of anomalousnesss ( consequence ) will be more than offset by the unit of ammunition trip dealing costs and illiquidity. Therefore little calendar specific anomalousnesss need non mistreat any arbitrage fortunes. Further, it has been argued that even if there are no calendar specific effects, an extended hunt ( excavation ) over a big figure of possible seasonalities is likely to give something that appears to be an ‘anomaly ‘ by clean opportunity ( Burton, 2003 ) .

For about half a century of their find in markets universe broad, there has been small grounds sing African markets. The freshness of the paper rests on the followers: ( a ) we test for the being of two calendar anomalousnesss in African indices- month-of-the-year and pre-holiday effects. African markets have a assortment of institutional characteristics that differentiate them from one another and from the markets in industrial and other emerging economic systems. The hunt for seasonality or other anomalousnesss in the returns of African markets can supply of import information on the function of institutional characteristics on return behaviour. This information may assist stock exchange and regulative governments when they make policy determinations ; ( B ) the paper explicitly accounts conditional heteroscedasticity in the month-of-the-year effects. ( degree Celsius ) the inquiry of whether trading regulations can give net incomes over bargain and clasp by working seasonal forms is explored ( Alagidede, 2008 ) .

A several factors are attributed to the optimistic sentiment in Pakistan ‘s stock market throughout the last seven old ages ( 2000-07 ) . These factors include: fast denationalization patterns of authorities owned endeavors, pull foreign investors in of import organisations, like Pakistan Telecommunication Company Limited, Electricity Supply and National Refinery and so on, leting foreign investors to direct their financess without any restraint ; lessening in the involvement rates by the Bankss ; uninterrupted development in economic necessities and higher industrial growing. These facets are attached with different regulations and Torahs, were introduced largely for the security of the little investors, and to acquire efficiency in trade by cybernation and limitation insider trading. These methods were taken besides reinforcement the construction of the Security Exchange Commission of Pakistan ( SECP ) . These important developments and steps have put in to the extraordinary growing in Pakistan ‘s equity market throughout the last several old ages ( Safi Ullah Khan and Faisal Rizwan, 2008 ) .

The negative returns over weekends to reassign in the agent ‘s stockholder balance in determination to purchase & amp ; sell. During the hebdomad, investors, excessively busy to make their personal research, tend to follow the advice of their agents, advice that are skewed to the buy side. On the other manus, on weekend ‘s investors, free from their personal work every bit good as from agents, do their personal research and tend to make determinations to sell. The result is a internet extra supply at Monday ‘s gap. It is supported by cogent evidence demoing that agents do be given to do purchase recommendation, by cogent evidence that odd-lot traffics tend to be net gross revenues, and by informations demoing that odd-lot volume is chiefly high and institutional volume is chiefly low on Mondays. Therefore, single investors tend to sell on Mondays when the deficit of institutional trading lessening liquidness. An extra account for the negative weekend consequence is that portion monetary values near “ excessively high ” on Fridays or “ excessively low ” on Mondays. One alternate attributes uncommonly high Friday shutting monetary values to colony hold. The hold among the trade day of the month and the colony day of the month charge an interest-free loan until colony. Friday purchasers get two extra yearss of free recognition, making an encouragement to purchase on Fridays and forcing Friday monetary values up. The diminution over the weekend reflects the remotion of this inducement. Friday is the twenty-four hours with the best volume and with the chiefly positive stock returns. KSE is termed as bad high return market where investors seek bad premium. During early 1890ss the non-informational factors apply greater force per unit area on stock market activity in Pakistan ( Hossain, 1990 ) . The primary cause for stock market worsening with tight money and high involvement rates, apart from the concluding consequence on corporate net incomes, is the fact that all fiscal assets are replacements, at least to some extent. All the other things being likewise, Increase in involvement rates will give some investors chance to sell stocks and purchase fixed income securities. The map of the stock market, in put out alterations in pecuniary policy to the “ existent ” variables in the economic system, is going loosely acknowledged among economic experts of both schools of idea. It is a construct worth considering in determining investing timing scheme ( Barclay and Warner, 1993 ) .

Though economic methods have been practiced with a degree of success in surveies of accountants of single common stock monetary values, reasonably small attendings has been given to the usage of these methods in announcing trunkss run motions in corporate indices of common stock monetary values. This lack of attendings is non flooring since precise prognosiss of the mean degree stock monetary values are of clear and practical importance for cognizing the timing of stock markts investing thoughts. In aaddition, econometric prediction methods have the important advantage that they produce consequences that are nonsubjective and quantitative and be invariably imitated ( Berkman, 1978 ) .

The definition of vacations varies among research workers. One definition looks at yearss, other than Saturday or Sunday, upon which the market is closed ( Lakonishok and Smidt, 1988 ) . Alagidede ( 2008 ) on the other manus, this prohibit exceeding events such as the terminal of apartheid in South Africa, the recent widespread political crises in Kenya that caused the market to shut to bargainers, and natural catastrophes like hurricanes, etc which can do unexpected closing of markets. Furthermore, some vacations e.g. , Easter and most spiritual vacations which follow the lunar calendar alteration over clip. To this terminal, we define the vacation consequence as the return from the pre-holiday stopping point to the post-holiday stopping point. In other words, the vacation returns are the day-to-day returns for the trading weekday that follows a non-trading weekday. Calendar effects are now accepted conventionalized facts in stock markets world-wide. However, the research on African stock markets sing this issue is virtually non-existent. The pre-holiday consequence is merely important for South Africa. There are high and important returns in yearss old a vacation ( Alagidede, 2008 ) .

Chapter 3


This chapter explains the methodological analysis used for this research survey. The chief research informations set is used in this paper consist of KSE 100 index listed on Karachi Stock Exchange. It is the past 5 twelvemonth informations which will be available on the Karachi Stock Exchange Website. Data would be collected through the web site and concern recording equipment web site. Data will be taken on the mean return of KSE 100 index companies composite by twenty-four hours after holiday period covering past 5 old ages. The companies listed gets from Karachi Stock Exchange web site in KSE 100 index. This chapter besides discusses the methods to measure cogency and dependability of the research for the factors associated with the impact of vacations on the stock return.

The vacations considered are those which can arouse stock market shuttings. These vacations are:

The lists of the national vacations of Pakistan are as follows:

Pakistan Day – 23rd of March

Independence Day – 14 Thursday of August:

Labour Day – 1st May:

Defense mechanism of Pakistan Day – 6th September:

Anniversary of the Death of Qaid- i- Azam, Mohammad Ali Jinnah – 11th September:

Birthday of a National Poet, Allama Iqbal – 9th November:

Christmas Day for Christians on the 25th of December. This twenty-four hours is besides celebrated as the birthday of Muhammad Ali Jinnah. In Urdu this twenty-four hours is called as Yom-e-Viladat-e-Quaid-e-Azam. Chistmas is referred in Urdu as Eid- ul-Milad-ul-Masseh

Some of the vacations at Pakistan, following the Islamic calendar are as follows:

Eid ul Adha


Eid ul Fitr

Jumu’ah-tul- Wida

Eid-e – Milad- un- Nabi

Laylat al-Qadr

Vacations in Pakistan are commemorated all over the state with gaudery, fear and appropriate jubilations.

3.1 Sample size and Technique

Research has a entire sample size of 3944 for the analysis. The technique ofA paired sample correlationA would be used. To happen out the correlativity is positive or non. The mated sample correlativity for the before and after stock returns have important value which is less than 0.05 that is 0.000 it means that correlativity exists among the braces.

3.2 Method of Data Collection

Method of informations aggregation would be Secondary. Beginnings of stock returns would be KSE website and concern recording equipment web site. Our research take mean return of KSE100 index companies composite by twenty-four hours after the vacation period covering past 5 twelvemonth. The Companies listed gets from Karachi Stock Exchange web site in KSE 100 index.

Chapter 4


4.1 Hypothesis Background

The trading twenty-four hours prior to vacations on mean exhibits high positive returns. Over tierce of the return earned by the market over the 20 twelvemonth trial period accrued on the eight trading yearss which yearly fall before vacations.

Roll ( 1983a ) discoveries high returns accruing to little houses on the trading twenty-four hours prior to New Year ‘s Day. Lakonishok and Smidt ( 1984 ) note that “ monetary values besides rise in all deciles ( of market capitalisation ) on the last trading twenty-four hours before Christmas ” and conclude that “ the high Christmas returns of big companies might be considered ( another ) … enigma. ” ( Robert A. Ariel, 1990 )

Hypothesis: Stock returns on the twenty-four hours before vacation is higher than the twenty-four hours after vacation

Table 4.1

The above tabular array shows the mated sample correlativity for the before and after stock returns. The important value of the above tabular array is less than 0.05 that is 0.000 it means that correlativity exists among the braces.

Table 4.2

The above tabular array shows the descriptive statistics of the information that is used for the analysis. Research has a entire sample size of 3944 for the analysis. That average value of the before vacation stock returns is 0.7082 and the average value of the after holiday stock return is 0.2201. Here researcher observe that the average value of after stock returns is relatively low as comparison to the average value of before stock returns. The standard divergence shows the higher value that is 1.84191 stand foring the high volatility in the stock returns.

Table 4.3

Harmonizing to the above tabular array the mean difference value of the before and after holiday stock returns is 0.48809 that is positive it means that the mean stock return on the twenty-four hours before vacation is higher as comparison to twenty-four hours after vacation. The important value of the trial is 0.000 that is less than 0.05 it means that that our void hypothesis is non rejected. On 95 % assurance interval degree research can province that the stock returns on twenty-four hours before vacation is higher than the twenty-four hours after vacation.

Chapter 5


Stock market plays an of import function in the economic development of a state. Stock exchange public presentation has attained important function in planetary economic sciences and fiscal markets, due to their impact on corporate finance and economic activity. For case stock exchanges enable houses to get capital rapidly, due to the easiness with which securities are traded. Stock exchange activity, therefore, plays an of import function in assisting to find the effects of macroeconomic activities. The Karachi stock exchange has played a really important function in the economic system of Pakistan. Karachi Stock Exchange 100 IndexA ( KSE-100 Index ) is aA stock indexA moving as a benchmark to compare monetary values on theA Karachi Stock ExchangeA ( KSE ) over a period of clip. The purpose of the survey was to detect the Effect of Calendar Holidays on Stock return. Stock return is higher before vacation or after the vacation. This Study is detecting on Karachi Stock Exchange ( KSE )

Karachi Stock Exchange 100 IndexA ( KSE-100 Index ) is aA stock indexA moving as a criterion to compare monetary values on theA Karachi Stock ExchangeA ( KSE ) over a period of clip. In formative representative companies to cipher the index on, companies with the maximumA market capitalizationA are selected. On the other manus, to guarantee maximal market representation, the company with the maximal market capitalisation from each sector is besides incorporated. Karachi Stock Exchange is the largest and most liquid exchange in Pakistan.

The consequences are rather expected in the scenarios of stock returns and it has some grounds behind it. First of all people and establishments are covering in the hereafter markets and every month they have to alter their contract from one month to another due to which selling force per unit area would be more on twenty-four hours after vacation that ‘s why stock returns psychiatrists on twenty-four hours after vacation as comparison to the twenty-four hours before vacation. Second, due to the market tendency people normally have an attitude to purchase some stocks on the twenty-four hours before vacation so that when they come back on twenty-four hours after vacation they will sell the stocks at the really beginning of the market to bask the good returns as there are purchasing impulse at the initial degree of the market that ‘s why selling force per unit area additions in the market. The intelligence besides plays an of import in constructing this behaviour if some intelligence come that is non good for the economic system the merchandising force per unit area increases on the twenty-four hours after vacation ensuing lessening in the stock returns.

5.1 Discussion and Recommendations

This research can assist the investors and portion holders in a manner that they would hold an thought of the impact of vacation in stock exchange that makes them investings procure in Karachi stock exchange as due to the market tendency people normally have an attitude to purchase some stocks on the twenty-four hours before vacation so that when they come back on twenty-four hours after vacation. Research is supplying information ‘s to investors and stockholders to keep stocks before the vacation because is higher than the twenty-four hours after vacation. This research besides help to investor to purchase the stock twenty-four hours after vacation, which monetary value of stock is lower than to the twenty-four hours before vacation. On the other manus, companies can besides hold an thought about the impact of vacations on the head of investors mind sing their buying form of portions.


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