The turn-of-the-month effect in Pakistani stock market

Future Business Journal

Table 9 Linear regression on overall sample

	\({\mathrm{KSE}}_{100}R\) (dependent variable)
TMD	0.259***
	(4.22)
Intercept	0.008
	(0.33)
N	1505
F-statistic	17.86
p value (F-statistic)	0.000

Notes: This table explains the results of linear regression between “turn-of-the-month-effect” dummy (independent variable) and “KSE-100 Index” returns (dependent variable). TMD represents “turn-of-the-month-effect” dummy, and R denotes “KSE-100 index” returns. *, **, and *** denote statistical significance at 10%, 5%, and 1% levels, t-statistics is presented in parenthesis. N denotes the number of observations