Existence of the Day-of-the-week Effect in FTSE Bursa Malaysia
Kesan hari-dalam-minggu di FTSE Bursa Malaysia

School of Social Sciences
Universiti Sains Malaysia
11800 USM
Penang, Malaysia.

hooilean@usm.my


Abstract

This paper investigates the existence of day-of-the-week effect for ten FTSE Bursa Malaysia indices. Standard procedure of determining calendar anomaly with additional GARCH related models are employed to determine the significance of the day-of-the-week effect. Results suggest that the day-of-the-week effect only exist for the FTSE Bursa Malaysia MESDAQ Index. However, the effect might be due to changing volatility since the negative and lowest Monday return does not appear to be significant in the EGARCH model.

Keywords

Citation

Hooi Lean, H., & Kah Min Tan, V. (2010). Existence of the Day-of-the-week Effect in FTSE Bursa Malaysia. Jurnal Pengurusan, 31, 3–11.

@article{hooilean2010existence,
  title={Existence of the Day-of-the-week Effect in FTSE Bursa Malaysia},
  author={Hooi Lean, Hooi and Kah Min Tan, Veronica},
  journal={Jurnal Pengurusan},
 

volume={31},
  number={},
  pages={3—11},
  year={2010},
  doi={},
  publisher={Penerbit UKM},
}

Export Bibliography:

No. of views: 166

   

Article received:  
Accepted for publication:  
Available online: 

Issue logo

31 (2010) 3 – 11

Download PDF

Share via:

Receive updates when new articles are published