Future Business Journal

Table 9 Month-of-the-year-effect EGARCH-in-mean model

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

KSE				PSX
Variables	Coefficients	z-statistics	Probability	Variables	Coefficients	z-statistics	Probability
Mean equation
D1	5893.742	5.830880	0.0000***	D1	81.08000	13.91640	0.0000***
D2	5970.061	6.360438	0.0000***	D2	82.39000	3.086888	0.0000***
D3	6149.421	6.677541	0.0000***	D3	88.35500	45.89546	0.0000***
D4	6559.880	6.509776	0.0000***	D4	79.48000	3.945738	0.0000***
D5	6836.392	5.566956	0.0000***	D5	79.34000	0.028830	0.0000***
D6	6903.227	6.433449	0.0000***	D6	76.06000	0.027805	0.0000***
D7	7384.314	5.725763	0.0000***	D7	78.45000	0.028679	0.0000***
D8	7750.419	6.488386	0.0000***	D8	80.55000	0.029447	0.0000***
D9	7825.489	6.458064	0.0000***	D9	81.15000	0.029666	0.0000***
D10	8572.228	6.714530	0.0000***	D10	83.08000	0.030372	0.0000***
D11	8758.445	6.248054	0.0000***	D11	86.41000	0.031589	0.0000***
D12	8788.759	6.435179	0.0000***	D12	81.62000	0.004957	0.0000***
Variance equation
C(13)	15.70508	3.054986	0.0023***	C(13)	1.113112	0.008011	0.0036***
C(14)	1.753017	2.224279	0.0026***	C(14)	0.010000	0.000625	0.0025***
C(15)	− 0.000878	− 0.001449	0.0028***	C(15)	0.010000	0.000639	0.0005***
C(16)	− 0.031455	− 0.110375	0.0012***	C(16)	0.010000	8.17E−05	0.0009***
R²: 0.672356				R²: 0.611729

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

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