Is There Day-of-the-week Effect in the Malaysian Stock Market?

Othman Yong, Ismail Ibrahim

Abstract


This paper looks at the issues of day-of-the-week effect in the case of the Malaysian stock market, which is an emerging stock market in the Asia-Pasific region.The study covers a period between January 1989 and December 1993, using all majors indicates of the KLSE. Overall, there seems to be an abnormally high return on Fridays, and a low return on Monday, a pattern quite consistenet with markets in the West. However, from statistical point of view, this phenomenon is not significant, i.e., the Malaysian stock market is still efficient in the weak sense of the efficient market hypothesisi. Our results are in contradiction with those of an earlier study by Md. Nasir and mohamed (1987) which was conducted before the split between the KLSE and SES, but in line with the results of a more recent study by Clare, Ibrahim and Thomas (1998) which find that the day-of-the-week effect disappears after the implementation of the new settlement procedure, called Fixed Delivery and Settlement System (FDSS) beginning in January 1990.

ABSTRAK

Kertas ini meniliti isu kesan hari-dalam-minggu di pasaran saham Malaysia, yang merupakan sebuah pasaran yang sedang membangun di rantau Asia Pasifik. Kajian ini meliputi tempoh masa antara Januari 1989 dan Disember 1993, dengan menggunakan kesemua indeks utama BSKL. Secara keseluruhannya, kelihatan seperti ada pulangan abnormal yang tinggi pada hari Jumaat, dan pulangan rendah pada hari Isnin, iaitu suatu corak yang agak konsisten dengan pasaran-pasaran di Barat. Walaubagaimanapun, secara statistik, fenomena ini tidaklah signifikan, iaitu, pasaran saham Malaysia masih cekap dari segi hipotesis pasaran cekap bentuk lemah. Keputusan kajian ini adalah bertentangan dengan penemuan kajian yang lebih awal oleh Md. Nasir dan Mohamed (1987), yang dibuat sebelum berpisahnya BSKL dengan Pasaran saham Singapura. Walaupun begitu, hasil kajian ini adalah selari dengan hasil sebuah kajian yang lebih trekini oleh Clare, Ibrahim dan Thomas (1998), yang mendapati bahawa kesan hari-dalam-minggu lenyap selepas diperkenal kaedah penyelesaian yang baru, yang dikenali sebagai Sistem Penyelesaian dan Pengukuran Tetap, yang mula beroperasi pada bulan Januari 1990.


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