Existence of the day-of-the-week effect in FTSE Bursa Malaysia

Hooi, Hooi Lean and Veronica Kah Min Tan, (2010) Existence of the day-of-the-week effect in FTSE Bursa Malaysia. Jurnal Pengurusan, 31 . ISSN 0127-2713

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This paper investigates the existence of day-of-the-week effect for ten FTSE Bursa Malaysia indices. Standard procedure of determining calendar anomaly with additional GARCH related models are employed to determine the significance of the day-of-the-week effect. Results suggest that the day-of-the-week effect only exist for the FTSE Bursa Malaysia MESDAQ Index. However, the effect might be due to changing volatility since the negative and lowest Monday return does not appear to be significant in the EGARCH model

Item Type:Article
Journal:Jurnal Pengurusan
ID Code:1766
Deposited By: Ms. Nor Ilya Othman
Deposited On:13 Jun 2011 03:34
Last Modified:14 Dec 2016 06:30

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