STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET
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 late...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UiTM Press
2021-03-01
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| Series: | Malaysian Journal of Computing |
| Subjects: | |
| Online Access: | https://mjoc.uitm.edu.my/main/images/journal/vol6-1-2021/10-Shariff-Yusof-et-al-Vol-61.pdf |
| _version_ | 1797449845547466752 |
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| author | Nurul Sima Mohamad Shariff Nur Aisyah Yusof |
| author_facet | Nurul Sima Mohamad Shariff Nur Aisyah Yusof |
| author_sort | Nurul Sima Mohamad Shariff |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T14:31:52Z |
| format | Article |
| id | doaj.art-8d65c1edc14f4832899825ee2f12d1b0 |
| institution | Directory Open Access Journal |
| issn | 2600-8238 |
| language | English |
| last_indexed | 2024-03-09T14:31:52Z |
| publishDate | 2021-03-01 |
| publisher | UiTM Press |
| record_format | Article |
| series | Malaysian Journal of Computing |
| spelling | doaj.art-8d65c1edc14f4832899825ee2f12d1b02023-11-28T01:49:03ZengUiTM PressMalaysian Journal of Computing2600-82382021-03-016177277710.24191/mjoc.v6i1.11212STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKETNurul Sima Mohamad Shariff0Nur Aisyah Yusof1Faculty of Science and Technology, Universiti Sains Islam Malaysia (USIM), Bandar Baru Nilai 71800, Nilai, Negeri Sembilan, MalaysiaFaculty of Science and Technology, Universiti Sains Islam Malaysia (USIM), Bandar Baru Nilai 71800, Nilai, Negeri Sembilan, MalaysiaThe 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.https://mjoc.uitm.edu.my/main/images/journal/vol6-1-2021/10-Shariff-Yusof-et-al-Vol-61.pdfanomaliesgarchklcivolatility |
| spellingShingle | Nurul Sima Mohamad Shariff Nur Aisyah Yusof STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET Malaysian Journal of Computing anomalies garch klci volatility |
| title | STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET |
| title_full | STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET |
| title_fullStr | STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET |
| title_full_unstemmed | STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET |
| title_short | STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET |
| title_sort | stock market anomalies a case of calendar effects on the malaysian stock market |
| topic | anomalies garch klci volatility |
| url | https://mjoc.uitm.edu.my/main/images/journal/vol6-1-2021/10-Shariff-Yusof-et-al-Vol-61.pdf |
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