Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model

Qaiser Munir, and Kok, Sook ching (2019) Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model. Communications in Statistics - Theory and Methods, 48 (6). pp. 1377-1400.

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Abstract

Recent research reveals that calendar effects have largely disappeared from stock markets. However, majority of the past studies focus on stock markets at the aggregate level but do not provide firm-level evidence. Therefore, this study investigates day-of-the-week and month-of-the-year effects in Malaysian finance stocks market for the period 1/1/1997–31/12/2014. The empirical results from threshold GARCH (TGARCH) model suggest that certain daily and monthly seasonality effects are prevalent along with asymmetric news effect. The findings of study indicate inefficiency in the weak-form sense, implying that it is possible for investors to obtain the observed abnormal returns by using timing strategies.

Item Type: Article
Uncontrolled Keywords: Day-of-the-week effect, month-of-the-year effect, malaysian finance stocks, weak form efficiency
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: FACULTY > Faculty of Business, Economics and Accounting
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 20 Nov 2019 02:58
Last Modified: 20 Nov 2019 02:58
URI: http://eprints.ums.edu.my/id/eprint/24132

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