Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model
Recent research reveals that calendar effects have largely disappeared from stock markets. However, majority of the past studies focus on stock markets at the aggregate level but do not provide firm-level evidence. Therefore, this study investigates day-of-the-week and month-of-the-year effects in M...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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2019
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/24132/1/Revisiting%20calendar%20effects%20in%20Malaysian%20finance%20stocks%20market.pdf |