Stock market anomalies: a case of calendar effects on the Malaysian stock market / Nurul Sima Mohamad Shariff and Nur Aisyah Yusof

Mohamad Shariff, Nurul Sima and Yusof, Nur Aisyah (2021) Stock market anomalies: a case of calendar effects on the Malaysian stock market / Nurul Sima Mohamad Shariff and Nur Aisyah Yusof. Malaysian Journal of Computing (MJoC), 6 (1). pp. 772-777. ISSN (eISSN): 2600-8238

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Abstract

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.

Metadata

Item Type: Article
Creators:
Creators
Email
Mohamad Shariff, Nurul Sima
nurulsima@usim.edu.my
Yusof, Nur Aisyah
aisyayusof.2209@gmail.com
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation
Divisions: Universiti Teknologi MARA, Shah Alam > Faculty of Computer and Mathematical Sciences
Journal or Publication Title: Malaysian Journal of Computing (MJoC)
UiTM Journal Collections: UiTM Journal > Malaysian Journal of Computing (MJoC)
ISSN: (eISSN): 2600-8238
Volume: 6
Number: 1
Page Range: pp. 772-777
Official URL: https://mjoc.uitm.edu.my
Item ID: 47830
Uncontrolled Keywords: Anomalies, GARCH, KLCI, Volatility
URI: https://ir.uitm.edu.my/id/eprint/47830

ID Number

47830

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