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

Author

Listed:
  • 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.

Suggested Citation

  • Zainal Abidin, Shahida Nadia & Wan Mahmood, Wan Mansor, 2007. "Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations," MPRA Paper 13326, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:13326
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    File URL: https://mpra.ub.uni-muenchen.de/13326/1/MPRA_paper_13326.pdf
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    References listed on IDEAS

    as
    1. 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 819-835, July.
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    3. Jeffrey Jaffe & R. Westerfield, "undated". "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.
    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 433-454, June.
    5. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    6. 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.
    7. Hakan Berument & Halil Kiymaz, 2001. "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(2), pages 181-193, June.
    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.
    9. Jeffrey Jaffe & R. Westerfield, "undated". "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. 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.
    11. 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.
    12. 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.
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    15. repec:mfa:journl:v:5:y:1997:i:1:p:23-33 is not listed on IDEAS
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Keywords: Bursa Malaysia; day of the week; robustness; OLS;

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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