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Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations

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Author Info
Zainal Abidin, Shahida Nadia
Wan Mahmood, Wan Mansor
Abstract

The study examines the day of the week effect on the Kuala Lumpur Composite Index of Bursa Malaysia using the daily data from 4th January 1999 to 29th December 2006. Employing the framework due to Hakan and Halil (2001) the study finds that the day of the week effect is present in Malaysian stock market. Specifically, the results show significant negative and significant positive for Monday and Tuesday, respectively. The Tuesday significant positive effect is possibly due to active buying on Monday because of the drop in price. However, the results of the Tuesday returns contradict almost all of the previous findings. The results indicate that information processed over weekends has affected the return of Kuala Lumpur Composite Index not only during the opening on Monday but also the following days. Thus, we suggest that information will decay only after a few days. The other possible explanation is that by using a more robust estimation on the turbulent sample period data do produce different results from the previous study. We also divide the full sample into two sub samples, we find no evident of the day of the week effect for both four years rolling samples (January 1999 until December 2002 and January 2003 until December 2006). The results of the whole sample seem to be consistent with the previous findings particularly on the Monday returns.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13326.

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Date of creation: 20 Jun 2007
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Handle: RePEc:pra:mprapa:13326

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Related research
Keywords: Keywords: Bursa Malaysia; day of the week; robustness; OLS.;

Find related papers by JEL classification:
D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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  1. Balaban, Ercan, 1995. "Day of the Week Effects: New Evidence from an Emerging Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 2(5), pages 139-43, May. [Downloadable!] (restricted)
  2. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July. [Downloadable!] (restricted)
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  4. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. " The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-54, June. [Downloadable!] (restricted)
  5. Wong, Kie Ann & Hui, Tak Kee & Chan, Choy Yin, 1992. "Day-of-the-Week Effects: Evidence from Developing Stock Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 2(1), pages 49-56, March. [Downloadable!] (restricted)
  6. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June. [Downloadable!]
  7. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  8. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August. [Downloadable!] (restricted)
  9. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
  10. Solnik, Bruno & Bousquet, Laurence, 1990. "Day-of-the-week effect on the Paris Bourse," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 461-468, August. [Downloadable!] (restricted)
  11. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 145-157, March. [Downloadable!]
  12. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June. [Downloadable!]
  13. Ariel, Robert A, 1990. " High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-26, December. [Downloadable!] (restricted)
  14. Ho, Richard Yan-Ki & Cheung, Yan-Leung, 1994. "Seasonal Pattern in Volatility in Asian Stock Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 4(1), pages 61-67, February. [Downloadable!] (restricted)
  15. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 24(4), pages 541-50, November.
  16. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
  17. Rogalski, Richard J, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 835-37, July. [Downloadable!] (restricted)
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