This paper examines empirical regularities in terms of dayof-the-week anomalies for the banking stocks at the Karachi StockExchange for the period 1996 to 2008. Non normality of the datawith excess kurtosis suggested application of ARCH and GARCHmodels which proved uncertainty of returns from banking stocks.Nonparametric analysis of the data reveals evidence of day-of-theweekeffect in Pakistan as contrary to the findings of some of theprevious studies on Asia-Pacific markets. The evidence of the dayof-the-week anomaly might be attributed to the strength of thenonparametric estimation methods which are more robust whenthe data does not meet assumptions of normal distribution. Thestudy also finds relatively higher risk associated with returns onthe last day of the working week in general. Negative skewness formost of the return series indicates probability of yielding loss forinvestors in the banking stocks. Volatility test proves asymmetricresults for various banking stocks. Results of the nonparametrictests also reveal significantly different median returns on variousdays of the week for these stocks. The study finds out relativelygreater risk associated with Faysal Bank, Jahangeer Siddiqui Bank,Meezan Bank, National Bank and Prime Commercial Bank onMondays. For the days in the middle of the week the risks associatedwith the banking stocks are not asymmetric. For Friday, the closingday of the week, risk in respect of Bank of Punjab, Faysal Bank,Muslim Commercial Bank and National Bank is significantly large
