The monthly effect in Islamic stock market return: evidence from Kuala Lumpur Syariah index / Juliana Shamshudin

This study investigates about the Syariah stock market return that has not been studied thoroughly. The purpose of this study has been to investigate the anomalies on the monthly effect in Islamic stock market return by looking at the movement of Kuala Lumpur Syariah Index (KLSI). The method used is capable of explaining the abnormal return of the KLSI by employing frequency daily data according to Syariah index for the period April 1999 to June 2006. This study also gives evidence that easy to interpret by including the index as a data and using independent sample t-statistic to test the significant level of monthly effect in KLSI. For this study, found that Malaysia has not significant monthly effect in KLSI.