The presence of the seasonal anomaly in stock returns has been reported extensively in finance literature. This paper examines the presence of monthly anomaly in Dhaka Stock Exchange (DSE), the premier stock exchange of Bangladesh. Data used in the study include daily closing prices of DSE indices such as DSE all share prices index (DSI), DSE general index (DGEN) and DSE 20 index for a period of 01.01.2001-30.06.2010. Several hypotheses have been formulated; those hypotheses have been tested and dummy variable regression was used in the study. The result indicates that May and June returns are positive and statistically significant. Result also reveals that the mean daily returns between two consecutive months differ significantly for the pairs April-May, June-July and December-January. Result also shows that the average monthly returns of every month of the year are not statistically equal. Dummy variable regression result shows that only May have positive and statistically significant coefficient. The conclusion of all the findings is that significant monthly seasonality is present in DSE which is a denial of efficient market hypothesis.
Rahman, L., & Amin, A. Monthly seasonality in emerging market: Evidence from Bangladesh. Global Journal of Finance and Economics, 8(1), 61-76.