arbiter
JournalsPricingAccount

Calendar day anomalies: evidence from Dhaka Stock Exchange

Tanvir Ahmed

International Journal of Behavioural Accounting and Finance2025https://doi.org/10.1504/ijbaf.2025.150263article
ABDC C
Weight
0.37

What the paper says

This research investigates the seasonality of the Dhaka Stock Exchange in Bangladesh, focusing on the "January Effect" and "Monday Effect" (adjusted for Sunday). Analysing 5818 observations of the DSEX Index over 23 years spanning from 2000 to 2023, the study uses Dummy Variable Time-series Data to identify statistically significant seasonality patterns. For monthly data, results reveal no significant return in January, contrary to the established opinion attributed to people's inclination to initiate new endeavours in the New Year. May, June, and August show a positive abnormal return. For daily data, Sundays yield a negative abnormal return, being the first weekday in Bangladesh, and Thursdays yield a positive abnormal return. The returns are lower in the first two days than in the last three days. The findings are contrary to the efficient market hypothesis (EMH), which states that asset prices reflect all available information. This study reveals evidence of seasonality in the Bangladeshi stock market.

1 citation

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1504/ijbaf.2025.150263

Or copy a formatted citation

@article{tanvir2025,
  title        = {{Calendar day anomalies: evidence from Dhaka Stock Exchange}},
  author       = {Tanvir Ahmed},
  journal      = {International Journal of Behavioural Accounting and Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1504/ijbaf.2025.150263},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Calendar day anomalies: evidence from Dhaka Stock Exchange

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.