Calender effect in shariah-compliant stocks returns; Evidence front FTSE Bursa Malaysia hijrah shariah index
This study aims to investigate the calendar effect in Malaysia Shariah-Cornpliant stocks returns. FTSE Bursa Malaysia Hijrah Shariah (FBMHS) Index is employed. AR(l) in the mean equation and EGARCH (1.1) as variance equation are used to analyze the volatility. Evidence of significant Friday effect,...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/11096/1/Calender_Effect_in_Shariah-Compliant_Stocks.pdf |