Future Business Journal

Table 8 Month-of-the-year-effect ARCH model

From: Impact of market anomalies on stock exchange: a comparative study of KSE and PSX

KSE				PSX
Variables	Coefficients	z-statistics	Prob.	Variables	Coefficients	z-statistics	Prob.
D1	7270.041	6.521786	0.0000***	D1	82.80017	5.431564	0.0000***
D2	7490.977	10.73030	0.0000***	D2	78.34584	6.362622	0.0000***
D3	7807.625	7.628923	0.0000***	D3	88.68887	8.382517	0.0000***
D4	8252.198	6.546838	0.0000***	D4	78.60784	7.473884	0.0000***
D5	8254.069	4.815544	0.0000***	D5	79.34000	5.373895	0.0000***
D6	8602.036	4.709142	0.0000***	D6	76.06000	4.579236	0.0000***
D7	8800.311	4.451400	0.0000***	D7	78.45000	6.824774	0.0000***
D8	8811.439	4.976618	0.0000***	D8	80.55000	5.732573	0.0000***
D9	8974.967	5.268697	0.0000***	D9	81.15000	4.573157	0.0000***
D10	9197.953	5.434362	0.0000***	D10	83.08000	7.436683	0.0000***
D11	9311.450	5.712891	0.0000***	D11	86.41000	5.384288	0.0000***
D12	9656.938	6.496169	0.0000***	D12	81.62000	7.362437	0.0000***
R²: 0.747725				R²: 0.711335

*Denotes significance at 10 per cent, **significance at 5 per cent and ***significance at 1 per cent

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