Stock market anomalies: a case of calendar effects on the Malaysian stock market

Stock market anomalies: a case of calendar effects on the Malaysian stock market. Malaysian Journal of Computing, 6 (1). pp. 772-777. ISSN 2231-7473 (2021)


The existence of market anomalies for the return reveals the inefficiency in the market that could affect investor investment strategy, portfolio selection, and profit management. It is due to the unpredictable movement of the stock market return that will affect the decision of investors later. As such, this study intends to investigate day of the week effect, a month of the year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018. Based on the findings from Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model analysis, it is found that the daily effect on returns was insignificant. Possible reasons for the insignificant return could be due to the lack of time-series data. However, the significant monthly effect on returns of May, November, and December while the quarterly effect on the returns is found significant in the first quarter. This study also concludes that volatility shock is persistent in the returns for all those three market anomalies.

Item Type: Article
Keywords: Anomalies, GARCH, KLCI, Volatility, Stock market, Investment
Taxonomy: By Subject > Business & Management > Economics
By Subject > Business & Management > Finance
Local Content Hub: Subjects > Business & Management
Depositing User: Eza Eliana Abdul Wahid
Date Deposited: 24 Feb 2022 23:33
Last Modified: 28 Feb 2022 09:02
Related URLs:

Actions (login required)

View Item View Item