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

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  • Anwar, Yunita
  • Mulyadi, Martin Surya
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    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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    Bibliographic Info

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

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    1. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 54(4), pages 579-96, October.
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    12. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, Elsevier, vol. 9(1), pages 19-46, March.
    13. Chris Brooks & Gita Persand, 2001. "Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 155-158.
    14. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, Elsevier, vol. 9(1), pages 3-18, March.
    15. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 03-85, Wharton School Rodney L. White Center for Financial Research.
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