How Behavioral Aspects Affect Market Efficiency- Evidence from KSE 100 index

α
Mr. Asif Sanaullah
Mr. Asif Sanaullah
σ
Dr Syed Muhammad Amir Shah
Dr Syed Muhammad Amir Shah
ρ
Muhammad Ather
Muhammad Ather
Ѡ
Ejaz Ali
Ejaz Ali
¥
Muhammad Rehan Aslam
Muhammad Rehan Aslam
α National Defence University
ρ Karakoram International University

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Abstract

Study of behavioral finance has been the focus of many researchers. Various researches as well as empirical analyses have been conducted in different stock markets of the world in order to verify the seasonal anomalies and to observe behavioral patterns of investors by which they earn abnormal returns. This research attempted to find anomalous behavior in two different sets of data. The first data set includes period of thirteen years from 1997 to 2010 and the second set of data consists of 11 years excluding the years of market crash 2005 & 2008. Both data sets have been tested by different data analysis tools, which reveal that some of anomalous behavior e.g. Turn of the Month (ToM) effect exists in KSE in first data set whereas the second data set is free from such anomalies.

References

13 Cites in Article
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  3. Mahendra Chandra (2006). The day-of-the-week effect in conditional correlation.
  4. R Kunkel,W Compton (1998). A tax free exploitation of the Turn-of -the month Effect: C.R.E.F.
  5. Wessel Marquering,Johan Nisser,Toni Valla (2006). Disappearing anomalies: a dynamic analysis of the persistence of anomalies.
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  11. G Schwert (2002). Anomalies and Market Efficiency.
  12. Joseph Ogden (1990). Turn‐of‐Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects.
  13. Richard Rogalski,Seha Tinic (1986). The January Size Effect: Anomaly or Risk Mismeasurement?.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Mr. Asif Sanaullah. 1970. \u201cHow Behavioral Aspects Affect Market Efficiency- Evidence from KSE 100 index\u201d. Global Journal of Management and Business Research - A: Administration & Management GJMBR-A Volume 12 (GJMBR Volume 12 Issue A10): .

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GJMBR Volume 12 Issue A10
Pg. 25- 32
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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Study of behavioral finance has been the focus of many researchers. Various researches as well as empirical analyses have been conducted in different stock markets of the world in order to verify the seasonal anomalies and to observe behavioral patterns of investors by which they earn abnormal returns. This research attempted to find anomalous behavior in two different sets of data. The first data set includes period of thirteen years from 1997 to 2010 and the second set of data consists of 11 years excluding the years of market crash 2005 & 2008. Both data sets have been tested by different data analysis tools, which reveal that some of anomalous behavior e.g. Turn of the Month (ToM) effect exists in KSE in first data set whereas the second data set is free from such anomalies.

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How Behavioral Aspects Affect Market Efficiency- Evidence from KSE 100 index

Mr. Asif Sanaullah
Mr. Asif Sanaullah National Defence University
Dr Syed Muhammad Amir Shah
Dr Syed Muhammad Amir Shah
Muhammad Ather
Muhammad Ather Karakoram International University
Ejaz Ali
Ejaz Ali
Muhammad Rehan Aslam
Muhammad Rehan Aslam

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