Seasonality Effect on Pakistan Stock Exchnage.

Table 1 Descriptive Analysis

Month Obs Mean Std. Min Max
January 22 0.046978 0.0828 -0.0868 0.241114
Feb 23 0.01707 0.067885 -0.09169 0.202276

Dec 22 0.013537 0.127551 -0.4488 0.167027

The descriptive analysis of monthly returns has been reported month wise in table 1. January reported
the highest mean average return than all of the others months. It means that we can earn extra return
by investing in January than any other months. From the maximum month return figure, we can see that
still January is offering the highest monthly return than any of the other months.
Table 2 Correlation Matrix
Variables (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11) (12) (13)
(1) r__kse 1.000

(2) m1 0.125* 1.000

(3) m2 0.021 -0.094 1.000

(4) m3 0.010 -0.094 -0.094 1.000

(5) m4 0.059 -0.094 -0.094 -0.094 1.000

(6) m5 -0.183* -0.092 -0.092 -0.092 -0.092 1.000

(7) m6 -0.056 -0.092 -0.092 -0.092 -0.092 -0.089 1.000

(8) m7 0.038 -0.092 -0.092 -0.092 -0.092 -0.089 -0.089 1.000

(9) m8 -0.087 -0.092 -0.092 -0.092 -0.092 -0.089 -0.089 -0.089 1.000

(10) m9 0.016 -0.092 -0.092 -0.092 -0.092 -0.089 -0.089 -0.089 -0.089 1.000

(11) m10 0.008 -0.092 -0.092 -0.092 -0.092 -0.089 -0.089 -0.089 -0.089 -0.089 1.000

(12) m11 0.039 -0.092 -0.092 -0.092 -0.092 -0.089 -0.089 -0.089 -0.089 -0.089 -0.089 1.000

(13) m12 0.008 -0.092 -0.092 -0.092 -0.092 -0.089 -0.089 -0.089 -0.089 -0.089 -0.089 -0.089 1.000

* shows significance at the .05 level

The relationship of the monthly returns and the different months are reported in table 2. The results indicated that only two months are related
to the stock returns significantly than other months. The January reported significant positive relationship with the stock returns, while May is
significantly negatively related to the stock returns of the Pakistan Stock Exchnage. All the other months are insignificant.
Table 3 Regression Analysis
r__kse Coef. St.Err. t- p-value [95% Conf Interval] Sig
value
m1 0.047 0.018 2.59 0.010 0.011 0.083 **
m2 0.017 0.018 0.96 0.336 -0.018 0.052
m3 0.014 0.018 0.79 0.431 -0.021 0.049
m4 0.028 0.018 1.56 0.120 -0.007 0.063
m5 -0.041 0.018 -2.27 0.024 -0.077 -0.005 **
m6 -0.005 0.018 -0.26 0.793 -0.040 0.031
m7 0.022 0.018 1.23 0.219 -0.013 0.058
m8 -0.014 0.018 -0.75 0.457 -0.049 0.022
m9 0.016 0.018 0.88 0.379 -0.020 0.052
m10 0.014 0.018 0.76 0.451 -0.022 0.049
m11 0.023 0.018 1.25 0.214 -0.013 0.058
m12 0.014 0.018 0.75 0.456 -0.022 0.049

Mean dependent var 0.011 SD dependent var 0.086

R-squared 0.078 Number of obs 267.000

F-test 1.787 Prob > F 0.051

Akaike crit. (AIC) -546.937 Bayesian crit. (BIC) -503.890

*** p<0.01, ** p<0.05, * p<0.1

The objective of the study is to investigate the seasonality effect of the Pakistan Stock Exchange. For the
purpose, we use the KSE-100 index as the benchmark for the analysis. The Yahoo finance is used to
download the data. Regression analysis has been performed using the Stata-14. The results of the
regression is reported in table 3.

A multivariate regression analysis has been conducted to analyze the monthly stock return (Dependent
Variable) behavior for each month (Monthly Dummies as Independent variables). The null hypothesis of
the study is that the regression coefficient are equal to zero. The data were screen for missing values
and assumptions prior to analysis.