Seasonal Anomalies of Stocks on The Kuala Lumpur Stock Exchange Second Board

Abstract

Over the past decades, various studies have been conducted to examine market anomalies in stock returns in markets ranging from developed stock markets such as U.S., U.K. and Japan, to recently merging stock markets such as Malaysia, Singapore, Thailand, Philippines, Korea and Taiwan. Anomalies that are identified from previous studies comprise turn-of-the-year effect, January effect, end-of-the-month effect, day-of-the-week or weekend effect, pre-holiday and post holiday effects, size effect, etc. This study will only examine the day-of-the-week effect (including the factor of market environment, variation of the market risk and market stability) and pre-holiday effect. of the market environment, variation of the market risk and market stability) and pre-holiday effect.