Is there any day-of-the-week effect amid the covid-19 panic in the Malaysian stock market?

Liew, Venus Khim Sen and Chia, Ricky Chee Jiun and Samina Riaz and Evan Lau Is there any day-of-the-week effect amid the covid-19 panic in the Malaysian stock market? Singapore Economic Review. ISSN 0217-5908

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Using daily data from January 2, 2020 to May 31, 2021, this study empirically examines the day-of-the-week effect in the Malaysian stock market during the coronavirus disease 2019 (COVID-19) outbreak. We also test the impact of the lockdown policy and market sentiment index on the stock market. We resort to ordinary least square regression with generalized autoregressive conditional heteroscedasticity specification. The finding shows that the day-of-the-week effect persisted during the COVID-19 outbreak. Monday’s returns on all selected indices were negative except for the access, certainty, efficiency market. The positive impact of the lockdown policy on Bursa Malaysia is identified after accounting for the day-of-the-week effect. This is due to the market expectation that the lockdown policy can stop the spread of COVID-19, which will lead to recovery. Further analysis uncovers that smaller capitalization stocks benefited more from the government lockdown policy announcements, which come with various stimulus packages that are more favorable to smaller companies. We also find that the United States market sentiment index negatively impacts all indices. This study unlocks and validates the contribution on calendar anomalies’ response during the COVID-19 period for Malaysia. The investment opportunity is available even during the pandemic era, leading to sustainable profit in the long term.

Item Type: Article
Uncontrolled Keywords: Day-of-the-week effect , Monday effect , COVID-19 panic , Malaysia , Generalized autoregressive conditional heteroscedasticity
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation
R Medicine > RA Public aspects of medicine > RA1-1270 Public aspects of medicine > RA421-790.95 Public health. Hygiene. Preventive medicine > RA648.5-767 Epidemics. Epidemiology. Quarantine. Disinfection
Divisions: FACULTY > Labuan Faculty of International Finance
Date Deposited: 16 Jun 2022 15:07
Last Modified: 16 Jun 2022 15:07

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