The day of the week effect on stock market in Malaysia / Eva Jacquline Beranking

Beranking, Eva Jacquline (2018) The day of the week effect on stock market in Malaysia / Eva Jacquline Beranking. [Student Project] (Submitted)
Abstract

This study is conducted to enhance more knowledge of calendar anomalies. This paper examines the effect of the calendar anomalies which is the day of the week effect and Friday effect in stock Market in Malaysia. The model that are used in this study is the GARCH and EGARCH model in order to examine the existence the daily anomalies and the Friday effect. Daily KLCI price index for ten years which is from 2008 until 2018 were used in the observation. Result show that day of the week effect do exist in Malaysia stock market but there is no Friday effect detected in the stock market.

Item Details
Item Type: Student Project
Creators:
Creators
Email / ID Num.
Beranking, Eva Jacquline
2015779233
Contributors:
Contribution
Name
Email / ID Num.
Advisor
Benedict, Marius
mariu198@uitm.edu.my
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock price indexes. Stock quotations
Divisions: Universiti Teknologi MARA, Sabah > Kota Kinabalu Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (Hons) Finance
Keywords: Stock market; Week effect; Friday effect; Calendar anomalies
Date: 2018
URI: https://ir.uitm.edu.my/id/eprint/111100
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  • Bilik Koleksi Akses Terhad | Kampus Kota Kinabalu, Sabah
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