Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange

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Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange

This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) pattern of daily Kuala Lumpur Stock Exchange returns. We address a total of four research questions using both a simple OLS model and a GARCH (1,1) specification. Three daily return measures, CTC, OTC, CTO are...

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Bibliographic Details
Main Authors:	Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor
Format:	Article
Language:	English
Published:	KLSE and RIIAM 2003
Subjects:	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/28415/ http://irep.iium.edu.my/28415/1/Azhar_CMR.pdf

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