Monthly effect in Malaysian stock market

Wong, Mei Kee (2007) Monthly effect in Malaysian stock market. Universiti Malaysia Sabah. (Unpublished)


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This study investigates the existence of the monthly effect in Malaysian stock market. The study uses the monthly closing prices of Kuala Lumpur Composite Index (KLCI) for the period from January 1994 to December 2006 for analysis. Further, the data was partitioned into three sub-periods which allows testing the presence of monthly effect over short periods of time and whether there is any persistence monthly effect. These sub samples are pre-crisis, crisis and post-crisis period, respectively. The regression results reveal the monthly patterns in this market. Monthly effects do not exist in the full period and crisis period. Only February effect is present during the pre-crisis period. There is January effect for the post-crisis period. Other than that, significant negative returns were also found in March and September with September being the lowest. However, the Wald test and Kruskal-Wallis test results indicate that there is no monthly effect in the stock returns. Finally, this study fails to detect any other persistent monthly effect.

Item Type: Academic Exercise
Uncontrolled Keywords: Malaysian stock market, closing price, Kuala Lumpur Composite Index, Kruskal-Wallis test, Wald test, stock return
Subjects: H Social Sciences > HG Finance
Divisions: SCHOOL > School of Science and Technology
Date Deposited: 24 Dec 2013 03:14
Last Modified: 10 Oct 2017 06:27

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