Existence of the Day-of-the-week Effect in FTSE Bursa Malaysia

Hooi Hooi Lean, Veronica Kah Min Tan

Abstract


This paper investigates the existence of day-of-the-week effect for ten FTSE Bursa Malaysia indices. Standard procedure of determining calendar anomaly with additional GARCH related models are employed to determine the significance of the day-of-the-week effect. Results suggest that the day-of-the-week effect only exist for the FTSE Bursa Malaysia MESDAQ Index. However, the effect might be due to changing volatility since the negative and lowest Monday return does not appear to be significant in the EGARCH model.

ABSTRAK

Kajian ini mengkaji kewujudan kesan hari-dalam-minggu bagi sepuluh indeks FTSE Bursa Malaysia. Prosedur piawai bagi penentuan keganjilan kalendar beserta tambahan model berkaitan GARCH telah digunakan untuk menentukan kesignifikanan kesan hari-dalam-minggu. Hasil kajian mencadangkan bahawa kesan hari-dalamminggu hanya wujud bagi indeks MESDAQ FTSE Bursa Malaysia. Walau bagaimanapun, kesan tersebut mungkin disebabkan oleh perubahan kemeruapan kerana pulangan pada hari Isnin yang negatif dan terendah adalah ternayta tidak signifikan dalam model EGARCH.


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