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The day of the week effects in Indonesia, Singapore, and Malaysia stock market

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Author Info
Anwar, Yunita
Mulyadi, Martin Surya
Abstract

Efficient market stated that stock’s return is indifferent in each trading day. But, the day of the week effects phenomenon made a different return in each single day in a week. This is an abnormal return which can affect investor in deciding investment strategy, portfolio selection, and profit management. We are researching the day of the week effects in Indonesia, Singapore, and Malaysia stock markets in order to get the information whether this anomaly is exist or not at the three countries. We use AR-EGARCH econometric models to answer our objective. The result shows that there is positive abnormal return on Friday in Indonesia and Malaysia. However, there is no Friday positive abnormal return in Singapore. Besides, our study also concludes that there is no Monday negative abnormal return in all of three countries.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16873.

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Date of creation: Jun 2009
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Handle: RePEc:pra:mprapa:16873

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Related research
Keywords: The day of the week effects; anomaly; abnormal return; AR-EGARCH;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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  1. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2007. "Day-of-the-week effects in selected East Asian stock markets," MPRA Paper 7299, University Library of Munich, Germany. [Downloadable!]
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  2. 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.
  3. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October. [Downloadable!] (restricted)
  4. 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.
  5. 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)
  6. 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)
  7. Brooks, Chris & Persand, Gita, 2001. "Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-Week Effects," Applied Economics Letters, Taylor and Francis Journals, vol. 8(3), pages 155-58, March. [Downloadable!] (restricted)
  8. Syed A. Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor and Francis Journals, vol. 13(10), pages 621-628, August. [Downloadable!] (restricted)
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  9. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March. [Downloadable!] (restricted)
  10. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March. [Downloadable!] (restricted)
  11. Kato, Kiyoshi & Schallheim, James S., 1985. "Seasonal and Size Anomalies in the Japanese Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(02), pages 243-260, June. [Downloadable!]
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