Summary: | The existence of market anomalies for the return reveals the inefficiency in the market that
could affect investor investment strategy, portfolio selection, and profit management. It is due
to the unpredictable movement of the stock market return that will affect the decision of
investors later. As such, this study intends to investigate day of the week effect, a month of the
year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala
Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018.
Based on the findings from Generalized Autoregressive Conditional Heteroskedasticity
(GARCH) model analysis, it is found that the daily effect on returns was insignificant. Possible
reasons for the insignificant return could be due to the lack of time-series data. However, the
significant monthly effect on returns of May, November, and December while the quarterly
effect on the returns is found significant in the first quarter. This study also concludes that
volatility shock is persistent in the returns for all those three market anomalies.
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