Investigation of Calendar-based Inefficiencies in South Asian Equity Markets: Fresh Evidence from a GJR-GARCH Approach
DOI:
https://doi.org/10.69728/jst.v12.90Abstract
This study investigates calendar anomalies in five South Asian stock markets (Bangladesh, India, Nepal, Pakistan, and Sri Lanka) to identify persistent patterns challenging the efficient market hypothesis. The study employs GJR-GARCH (1,1) models to examine day-of-the-week, turn-of-the-month, half-month, and month-of-the-year effects, with subsequent robustness checks. Results reveal significant day-of-the-week effects with negative returns on opening days in Bangladesh, Pakistan, and Sri Lanka. Month-of-the-year anomalies exist across all markets, although the January effect appears to be unique to Pakistan. A statistically significant turn-of-the-month effect persists across all five South Asian markets examined, with returns during transition periods consistently exceeding those observed during other trading days. The analysis further reveals that returns during the first half of the month generally exceed those of the second half, with this effect being particularly pronounced in Pakistan's equity market. Overall, the findings indicate that calendar anomalies continue to pose a significant challenge to the Efficient Market Hypothesis and its associated implications in South Asian stock markets. These systematic calendar anomalies offer potential arbitrage opportunities for investors and portfolio managers operating within South Asian markets. This research provides comprehensive evidence of calendar anomalies in South Asian markets, contributing to the literature on market efficiency in emerging economies and offering actionable insights for market timing strategies.
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