Is three day-of-the-week effect in the Malaysian stock market?
This paper looks at the issue of day-of-the-week effect in the case of the Malaysian stock market, which is an emerging stock market in the Asia-Pacific region. The study covers a period between January 1989 and December 1993, using all major indices of the KLSE. Overall, there seems to be an abnorm...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
1999
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| Online Access: | http://journalarticle.ukm.my/1732/ http://journalarticle.ukm.my/1732/1/920-1761-1-SM.pdf |
| _version_ | 1848809639051788288 |
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| author | Othman Yong, Ismail Ibrahim, |
| author_facet | Othman Yong, Ismail Ibrahim, |
| author_sort | Othman Yong, |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | This paper looks at the issue of day-of-the-week effect in the case of the Malaysian stock market, which is an emerging stock market in the Asia-Pacific region. The study covers a period between January 1989 and December 1993, using all major indices of the KLSE. Overall, there seems to be an abnormally high return on Fridays, and a low return on Monday, a pattern quite consistent with markets in the West. However, from statistical point of view, this phenomenon is not significant, i.e., the Malaysian stock market is still efficient in the weak sense of the efficient market hypothesis. Our results are in contradiction with those of an earlier study by Md. Nasir and Mohamed (1987) which find that the day-of-the-week disappears after the implementation of the new settlement procedure, calle Fixed Delivery and Settlement System (FDSS) beginning in January 1990 |
| first_indexed | 2025-11-14T23:17:48Z |
| format | Article |
| id | ukm-1732 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:17:48Z |
| publishDate | 1999 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ukm-17322016-12-14T06:30:05Z http://journalarticle.ukm.my/1732/ Is three day-of-the-week effect in the Malaysian stock market? Othman Yong, Ismail Ibrahim, This paper looks at the issue of day-of-the-week effect in the case of the Malaysian stock market, which is an emerging stock market in the Asia-Pacific region. The study covers a period between January 1989 and December 1993, using all major indices of the KLSE. Overall, there seems to be an abnormally high return on Fridays, and a low return on Monday, a pattern quite consistent with markets in the West. However, from statistical point of view, this phenomenon is not significant, i.e., the Malaysian stock market is still efficient in the weak sense of the efficient market hypothesis. Our results are in contradiction with those of an earlier study by Md. Nasir and Mohamed (1987) which find that the day-of-the-week disappears after the implementation of the new settlement procedure, calle Fixed Delivery and Settlement System (FDSS) beginning in January 1990 Penerbit Universiti Kebangsaan Malaysia 1999-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1732/1/920-1761-1-SM.pdf Othman Yong, and Ismail Ibrahim, (1999) Is three day-of-the-week effect in the Malaysian stock market? Jurnal Pengurusan, 18 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm |
| spellingShingle | Othman Yong, Ismail Ibrahim, Is three day-of-the-week effect in the Malaysian stock market? |
| title | Is three day-of-the-week effect in the Malaysian stock market? |
| title_full | Is three day-of-the-week effect in the Malaysian stock market? |
| title_fullStr | Is three day-of-the-week effect in the Malaysian stock market? |
| title_full_unstemmed | Is three day-of-the-week effect in the Malaysian stock market? |
| title_short | Is three day-of-the-week effect in the Malaysian stock market? |
| title_sort | is three day-of-the-week effect in the malaysian stock market? |
| url | http://journalarticle.ukm.my/1732/ http://journalarticle.ukm.my/1732/ http://journalarticle.ukm.my/1732/1/920-1761-1-SM.pdf |