Daily Returns Seasonality and Impact of Stock Index Futures: Evidence From The Kuala Lumpur Stock Exchange
DOI:
https://doi.org/10.66674/z1nzvy98Abstract
This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) daily KLSE returns. We address a total of four research questions using both a simple and a GARCH (1,1) specification. Three daily return measures, CTC, OTC and CTO The impact on DOW pattern of the new T+3 day settlement is also examined. in previous siudies, we see evidence of a DOW pattern in daily stock returns prior to SIF introduction. However, in the period following SIF introduction the diminishes. The null hypothesis that mean daily returns are equal across the week rejected. The T+3 Day settlement rule also had an impact on stock market DOW Between SIF and trading rule change. we find that while the SIF introduction reduced effect substantially, the T+3 implementation eliminated even the marginal individual
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Copyright (c) 2003 Azhar Mohamad, Obiyathulla Ismath Bacha, Mansor Ibrahim (Author)
This work is licensed under a Creative Commons Attribution 4.0 International License.
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.
