Malaysian Evidence on the Robustness of the Day-of-the-week Effect
DOI:
https://doi.org/10.66674/tdzhzz42Abstract
‘The day-of-the-week effect is an empirical anomaly that has attracted substantial attention. Following the work of Connolly (1989) it is necessary to revisit previous empirical work. In this paper, we examine the day-of-the-weck effect in Malaysia over the period 1986-1993. The period spans some institutional changes in the Malaysian market, ie, abandoning the open outcry system of trading and severing links with the Singapore exchange. In addition to the usual tests, a GARCH model incorporating daily dummies in both the mean equation and the variance equation i presented. We are able to show that once the time varying volatility of the KLSE is modelled there is no day- of-the-week effect.
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Copyright (c) 1996 Sinclair Davidson, Albert Peker (Author)
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Authors retain copyright and grant Capital Markets Review the right of first publication. Articles are published under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence: https://creativecommons.org/licenses/by/4.0/. This licence permits sharing and adaptation for any purpose, including commercial use, provided appropriate credit is given, a link to the licence is supplied and any changes are indicated. Third-party material excluded from the article's licence must be clearly identified, and authors are responsible for obtaining any required permission.
