Existence of the day-of-the-week effect in FTSE Bursa Malaysia
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-w...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2010
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| Online Access: | http://journalarticle.ukm.my/1766/ http://journalarticle.ukm.my/1766/1/322-596-1-SM.pdf |
| _version_ | 1848809648083173376 |
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| author | Hooi, Hooi Lean Veronica Kah Min Tan, |
| author_facet | Hooi, Hooi Lean Veronica Kah Min Tan, |
| author_sort | Hooi, Hooi Lean |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | 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 |
| first_indexed | 2025-11-14T23:17:57Z |
| format | Article |
| id | ukm-1766 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:17:57Z |
| publishDate | 2010 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ukm-17662016-12-14T06:30:12Z http://journalarticle.ukm.my/1766/ Existence of the day-of-the-week effect in FTSE Bursa Malaysia Hooi, Hooi Lean Veronica Kah Min Tan, 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 Penerbit Universiti Kebangsaan Malaysia 2010-12 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1766/1/322-596-1-SM.pdf Hooi, Hooi Lean and Veronica Kah Min Tan, (2010) Existence of the day-of-the-week effect in FTSE Bursa Malaysia. Jurnal Pengurusan, 31 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm |
| spellingShingle | Hooi, Hooi Lean Veronica Kah Min Tan, Existence of the day-of-the-week effect in FTSE Bursa Malaysia |
| title | Existence of the day-of-the-week effect in FTSE Bursa Malaysia |
| title_full | Existence of the day-of-the-week effect in FTSE Bursa Malaysia |
| title_fullStr | Existence of the day-of-the-week effect in FTSE Bursa Malaysia |
| title_full_unstemmed | Existence of the day-of-the-week effect in FTSE Bursa Malaysia |
| title_short | Existence of the day-of-the-week effect in FTSE Bursa Malaysia |
| title_sort | existence of the day-of-the-week effect in ftse bursa malaysia |
| url | http://journalarticle.ukm.my/1766/ http://journalarticle.ukm.my/1766/ http://journalarticle.ukm.my/1766/1/322-596-1-SM.pdf |