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 KLSE 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 and CTO are used. The impact on D...
| Main Authors: | , , |
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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
2003
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/28481/ http://irep.iium.edu.my/28481/1/MFA_5th_Symposium_Proceedings_Detail.pdf http://irep.iium.edu.my/28481/2/Azhar_CMR.pdf |
| _version_ | 1848779972423974912 |
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| author | Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor |
| author_facet | Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor |
| author_sort | Mohamad, Azhar |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) pattern of daily KLSE 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 and CTO are used. The impact on DOW pattern of the new T+3 day settlement is also examined. |
| first_indexed | 2025-11-14T15:26:16Z |
| format | Proceeding Paper |
| id | iium-28481 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T15:26:16Z |
| publishDate | 2003 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-284812021-07-23T07:16:43Z http://irep.iium.edu.my/28481/ Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) pattern of daily KLSE 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 and CTO are used. The impact on DOW pattern of the new T+3 day settlement is also examined. 2003-04-23 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/28481/1/MFA_5th_Symposium_Proceedings_Detail.pdf application/pdf en http://irep.iium.edu.my/28481/2/Azhar_CMR.pdf Mohamad, Azhar and Bacha, Obiyathulla Ismath and Ibrahim, Mansor (2003) Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange. In: Malaysia Finance Association's (MFA's) 5th Annual Symposium, 23-24 April 2003, Cyberjaya, Kualal Lumpur. (Unpublished) http://vlib.mmu.edu.my/webdb/item/more.php?id=6738&searchit= |
| spellingShingle | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange |
| title | Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange |
| title_full | Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange |
| title_fullStr | Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange |
| title_full_unstemmed | Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange |
| title_short | Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange |
| title_sort | daily returns seasonality and impact of stock index futures: evidence from the kuala lumpur stock exchange |
| topic | HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/28481/ http://irep.iium.edu.my/28481/ http://irep.iium.edu.my/28481/1/MFA_5th_Symposium_Proceedings_Detail.pdf http://irep.iium.edu.my/28481/2/Azhar_CMR.pdf |