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...
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| Format: | Article |
| Language: | English |
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2019
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| Online Access: | https://eprints.ums.edu.my/id/eprint/24132/1/Revisiting%20calendar%20effects%20in%20Malaysian%20finance%20stocks%20market.pdf |
| _version_ | 1825713762939699200 |
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| author | Qaiser Munir Kok, Sook ching |
| author_facet | Qaiser Munir Kok, Sook ching |
| author_sort | Qaiser Munir |
| collection | UMS |
| description | 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 Malaysian finance stocks market for the period 1/1/1997–31/12/2014. The empirical results from threshold GARCH (TGARCH) model suggest that certain daily and monthly seasonality effects are prevalent along with asymmetric news effect. The findings of study indicate inefficiency in the weak-form sense, implying that it is possible for investors to obtain the observed abnormal returns by using timing strategies. |
| first_indexed | 2024-03-06T03:01:36Z |
| format | Article |
| id | ums.eprints-24132 |
| institution | Universiti Malaysia Sabah |
| language | English |
| last_indexed | 2024-03-06T03:01:36Z |
| publishDate | 2019 |
| record_format | dspace |
| spelling | ums.eprints-241322019-11-20T02:58:27Z https://eprints.ums.edu.my/id/eprint/24132/ Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model Qaiser Munir Kok, Sook ching HB Economic theory. Demography HG Finance 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 Malaysian finance stocks market for the period 1/1/1997–31/12/2014. The empirical results from threshold GARCH (TGARCH) model suggest that certain daily and monthly seasonality effects are prevalent along with asymmetric news effect. The findings of study indicate inefficiency in the weak-form sense, implying that it is possible for investors to obtain the observed abnormal returns by using timing strategies. 2019 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/24132/1/Revisiting%20calendar%20effects%20in%20Malaysian%20finance%20stocks%20market.pdf Qaiser Munir and Kok, Sook ching (2019) Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model. Communications in Statistics - Theory and Methods, 48 (6). pp. 1377-1400. https://doi.org/10.1080/03610926.2018.1433846 |
| spellingShingle | HB Economic theory. Demography HG Finance Qaiser Munir Kok, Sook ching Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model |
| title | Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model |
| title_full | Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model |
| title_fullStr | Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model |
| title_full_unstemmed | Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model |
| title_short | Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model |
| title_sort | revisiting calendar effects in malaysian finance stocks market evidence from threshold garch tgarch model |
| topic | HB Economic theory. Demography HG Finance |
| url | https://eprints.ums.edu.my/id/eprint/24132/1/Revisiting%20calendar%20effects%20in%20Malaysian%20finance%20stocks%20market.pdf |
| work_keys_str_mv | AT qaisermunir revisitingcalendareffectsinmalaysianfinancestocksmarketevidencefromthresholdgarchtgarchmodel AT koksookching revisitingcalendareffectsinmalaysianfinancestocksmarketevidencefromthresholdgarchtgarchmodel |