Title: Calendar day anomalies: evidence from Dhaka Stock Exchange

Authors: Towfiq Ahmed

Addresses: School of Business, University of Asia Pacific, Dhaka, 1205, Bangladesh

Abstract: 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.

Keywords: calendar day anomalies; January effect; Monday effect; EMH; efficient market hypothesis; seasonality; DSE; Dhaka Stock Exchange; DSEX Index; abnormal return.

DOI: 10.1504/IJBAF.2025.150263

International Journal of Behavioural Accounting and Finance, 2025 Vol.7 No.4, pp.365 - 383

Received: 25 Mar 2024
Accepted: 23 Apr 2025
Published online: 05 Dec 2025 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article