Calendar Anomalies In The Malaysian Stock Market

Venus, Khim-Sen Liew and Ricky, Chee-Jiun Chia and Syed Azizi Wafa, Syed Khalid Wafa (2006) Calendar Anomalies In The Malaysian Stock Market. [Working Paper]

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Abstract

This study examines the calendar anomalies in the Malaysian stock market. Using various generalized autoregressive conditional heteroskedasticity models; this study reveals the different anomaly patterns in this market for before, during and after the Asian financial crisis periods. Among other important findings, the evidence of negative Monday returns in post-crisis period is consistent with the related literature. However, this study finds no evidence of a January effect or any other monthly seasonality. The current empirical findings on the mean returns and their volatility in the Malaysian stock market could be useful in designing trading strategies and drawing investment decisions.

Item Type: Working Paper
Uncontrolled Keywords: Malaysian stock market, calendar anomalies, Asian financial, post-crisis period, EGARCH and TGARCH models, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, , research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 06 May 2020 02:39
Last Modified: 04 Aug 2021 03:01
URI: http://ir.unimas.my/id/eprint/29595

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