DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE
This paper examines the day of the week anomalies at the Malaysian Exchange during various economic situations. In particular, the paper looks at the existence of day of the week effect for various indices, the popular benchmark Composite Index, the broader based Emas Index, smaller capital based Se...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Universitas Islam Bandung
2014-10-01
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| Series: | Statistika |
| Online Access: | http://ejournal.unisba.ac.id/index.php/statistika/article/view/909 |
| _version_ | 1818555529131196416 |
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| author | Zainudin Arsad Mohd Shahrizan Othman |
| author_facet | Zainudin Arsad Mohd Shahrizan Othman |
| author_sort | Zainudin Arsad |
| collection | DOAJ |
| description | This paper examines the day of the week anomalies at the Malaysian Exchange during various economic situations. In
particular, the paper looks at the existence of day of the week effect for various indices, the popular benchmark Composite
Index, the broader based Emas Index, smaller capital based Second Board Index, Financial Index of the Main Board and
one of the newly created sectoral index of Trade and Services. Three estimation models are used to investigate the
presence of daily effect in these indices: the Ordinary Least Squares regression (OLS), Box and Jenkins ARIMA and the
GARCH(p,q) models for capturing changing volatility in the stock returns. The OLS results reveal negative Monday mean
returns for each of the indices for the whole sample period. As expected during the Asian Economic Crisis period, the
mean returns are negative for each day of the week, with Thursday recording the largest negative returns. Negative mean
returns on Monday are not generally observed for each of the indices in recent years (during the World Economic Crisis
and the following Recovery Period). When the changing volatility in the financial market is taken into account, the
Monday negative returns remain significant during the whole sample period. |
| first_indexed | 2024-12-12T09:54:38Z |
| format | Article |
| id | doaj.art-5556d444439540aca5aeb749a89062ca |
| institution | Directory Open Access Journal |
| issn | 1411-5891 |
| language | Indonesian |
| last_indexed | 2024-12-12T09:54:38Z |
| publishDate | 2014-10-01 |
| publisher | Universitas Islam Bandung |
| record_format | Article |
| series | Statistika |
| spelling | doaj.art-5556d444439540aca5aeb749a89062ca2022-12-22T00:28:09ZindUniversitas Islam BandungStatistika1411-58912014-10-0142705DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGEZainudin ArsadMohd Shahrizan OthmanThis paper examines the day of the week anomalies at the Malaysian Exchange during various economic situations. In particular, the paper looks at the existence of day of the week effect for various indices, the popular benchmark Composite Index, the broader based Emas Index, smaller capital based Second Board Index, Financial Index of the Main Board and one of the newly created sectoral index of Trade and Services. Three estimation models are used to investigate the presence of daily effect in these indices: the Ordinary Least Squares regression (OLS), Box and Jenkins ARIMA and the GARCH(p,q) models for capturing changing volatility in the stock returns. The OLS results reveal negative Monday mean returns for each of the indices for the whole sample period. As expected during the Asian Economic Crisis period, the mean returns are negative for each day of the week, with Thursday recording the largest negative returns. Negative mean returns on Monday are not generally observed for each of the indices in recent years (during the World Economic Crisis and the following Recovery Period). When the changing volatility in the financial market is taken into account, the Monday negative returns remain significant during the whole sample period.http://ejournal.unisba.ac.id/index.php/statistika/article/view/909 |
| spellingShingle | Zainudin Arsad Mohd Shahrizan Othman DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE Statistika |
| title | DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE |
| title_full | DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE |
| title_fullStr | DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE |
| title_full_unstemmed | DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE |
| title_short | DAY OF THE WEEK EFFECT AND STOCKMARKET VOLATILITY: FURTHER EVIDENCE FROMMALAYSIA EXCHANGE |
| title_sort | day of the week effect and stockmarket volatility further evidence frommalaysia exchange |
| url | http://ejournal.unisba.ac.id/index.php/statistika/article/view/909 |
| work_keys_str_mv | AT zainudinarsad dayoftheweekeffectandstockmarketvolatilityfurtherevidencefrommalaysiaexchange AT mohdshahrizanothman dayoftheweekeffectandstockmarketvolatilityfurtherevidencefrommalaysiaexchange |