Calendar Anomalies or illusions? Evidence from Pakistan Stock Market

The stock market is the reflection of any country's economy around the globe, the purpose of the study was to figure out the anatomies of anomalies in the calendar, Year Turn Effect keeping the first month as Jan-Jul and last month as Jun-Dec, Month Turn Effect (First and Last Week of the month) and Week Turn Effect (First and Last day of the week) covering period for KSE-100 and KSE All shares from Jan-2001 to Jun-2019 and rest three indices were taken from inception date, EGARCH model was selected based on prescribed criterion AIC, SIC, and HQC test, and last results were retest with stock market sensitivity to key macroeconomic factors such as Interest Rate (KIBOR), Treasury Bills Rates, and Exchange Rate. Findings revealed a strong clustering feature impact on conditional variance on Year Turn, Month Turn, and Week Turn Effect with mixed of market returns. The research suggested four considerable factors (1) Events, (2) Role of Information, (3) Market Timing and (4) Sovereign Variable affection on market, further it also suggested for future research to stretch data set and employ the bootstrapping method and different statistical techniques for rigorous results.