Abstract: “Seasonality in return from capital market has been put forward as most compelling evidence controverting the Efficient Market Hypothesis. Existence of seasonality provides opportunity to gain abnormal return by deploying dynamic trading strategies at the same time it also pushes policymakers to rethink about structural flaws that may have developed within the market mechanism. This study aims to identify seasonality in return from Dhaka Stock Exchange the premier bourse of Bangladesh. The study tested for existence of Month-of-the-Year Effect and Day-of-the-Week Effect on return of the broad market index of Dhaka Stock Exchange from 2009 to 2018. Through multivariate regression analysis, it was found that index return in the month of June is significantly higher than the other months. Empirical evidence of existence of significant positive return on Tuesday and Thursday and negative return on Thursday have also been found in the study. However, such month specific return pattern and we”

Keywords: Day-of-the-Week Effect, Dhaka Stock Exchange, Month-of-the-Year Effect, Seasonality, Stock Return