An empirical analysis of calendar anomalies in the Malaysian stock market

Shiok, Y. Lim and Ho, Chong Mun and Dollery, Brian E. (2010) An empirical analysis of calendar anomalies in the Malaysian stock market. Applied Financial Economics Volume 20, Issue 3, February 2010, Pages 255-264, 20 (3). pp. 255-264. ISSN 0960-3107

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Abstract

This study investigates the 'day of the week' effect and the 'twist of the Monday' effect for Kuala Lumpur Composite Index for the period May 2000 to June 2006. Our empirical results find support for the Monday effect in that Monday exhibits a negative mean return (-0.09%) and represents the lowest stock returns in a week. The returns on Wednesday are the highest in a week (0.07%), followed by returns on Friday (0.04%). Monday returns were partitioned into positive and negative returns; we found that the Monday effect is clearly visible in a 'bad news' environment, but it failed to appear in 'good news' environment. This study also found evidence on 'twist of the Monday' effect, where returns on Mondays are influenced by previous week's returns and previous Friday's returns. The median return on a Monday following a previous week and a previous Friday with declining returns was -0.21% and -0.26%, respectively. The median return on a Monday following a previous week and a previous Friday with rising returns was 0.02% and 0.13%, respectively. The evidence of negative Monday returns in this period is consistent with the relevant empirical literature. © 2010 Taylor & Francis.

Item Type: Article
Uncontrolled Keywords: Empirical analysis, Financial system, Market system, Stock market
Subjects: H Social Sciences > HC Economic History and Conditions
?? HG4551-4598 ??
Divisions: SCHOOL > School of Science and Technology
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 09 Mar 2011 06:26
Last Modified: 13 Oct 2017 02:02
URI: http://eprints.ums.edu.my/id/eprint/2146

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