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 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...

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Bibliographic Details
Main Authors:	Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor
Format:	Proceeding Paper
Language:	English English
Published:	2003
Subjects:	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
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

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