New Evidence on Day of the Week Effect in the Malaysian Stock Market

Abstract

In this paper, we examine the day-of-the week effect using the daily closing prices of the Kuala Lumpur Composite Index from January 1980 to December 1996. Our findings suggest that the effects persist over time. The patter of the effect is similar to that found in other significant negative Monday returns and positive Friday returns. We also find evidence that the Tuesday retums are more negative and Thursday returns are more positive. Sy, he stock market crash of 1987 seems to result in empirical irregularity in the daily returns, Monday returns are consistently found when the market had declined the previous