Seasonalities in the monthly stock returns

Evidence from bangladesh dhaka stock exchange (DSE)

Md Khokan Bepari, Abu Taher Mollik

Research output: Contribution to journalArticle

6 Citations (Scopus)


The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in return series of Dhaka Stock Exchange (DSE) of Bangladesh. The study uses the monthly return data of the DSE all share price index (DSE All Index) for the period from 1993 to 2006 for the analysis. After examining the stationarity of the return series, we specify a "combined regression-time series model" with dummy variable for months to find the monthly effect in stock returns in DSE. The results confirm the existence of seasonality in stock returns in DSE but do not support the "tax-loss-selling" hypothesis. Instead of "July effect" (January effect), we find an "April effect" in DSE. The results of the study invalidate the paradigm of the efficient market hypothesis in DSE meaning that, investors can time their share investments to improve returns.

Original languageEnglish
Pages (from-to)167-176
Number of pages10
JournalInternational Research Journal of Finance and Economics
Issue number24
Publication statusPublished - Feb 2009
Externally publishedYes


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