New Evidence on Day of the Week Effect in the Malaysian Stock Market
DOI:
https://doi.org/10.66674/6rn05w78Abstract
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
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Copyright (c) 1997 Mansor H. Ibrahim (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.
