Calendar anomalies in Malaysian stock market

Lim, Shiok Ye (2007) Calendar anomalies in Malaysian stock market. Universiti Malaysia Sabah. (Unpublished)

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Abstract

This study investigates the day of the week and the twist of the Monday effect for Kuala Lumpur Composite Index from May 2000 to June 2006. The empirical results found support for the Monday effect that Mondays are the only days with negative returns and it is the lowest stock returns in a week. The returns on Wednesday are the highest in a week, following by returns on Friday. The Monday returns are then partitioned into positive and negative returns, and find that the Monday effect is clearly visible in a bad news environment, but it fails to hold for Mondays in good news environment. This study also found evidence on twist of the Monday effect, return on Mondays is influenced by previous week returns and previous Friday return. The evidence of negative Monday returns in this period is consistent with the related literature.

Item Type: Academic Exercise
Uncontrolled Keywords: calendar anomalies, Malaysian stock market, consistent, period
Subjects: H Social Sciences > HG Finance
Divisions: SCHOOL > School of Science and Technology
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 26 Jun 2013 05:13
Last Modified: 23 Oct 2017 04:54
URI: http://eprints.ums.edu.my/id/eprint/6415

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