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

Author

Listed:
  • 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.

Suggested Citation

  • Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:16873
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    File URL: https://mpra.ub.uni-muenchen.de/16873/1/MPRA_paper_16873.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Jinghan Cai & Jibao He & Le Xia & Weili Zhai, 2017. "Weekend Effect and Short Sales: Evidence from Hong Kong," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(2), pages 8-18, 02-2017.

    More about this item

    Keywords

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

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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