Seasonality effects on the stock markets / Faridah Hanim Wakimin

This project paper study the existence of seasonality in Malaysia stock market. This study is attempted to identify the effects of seasonality towards mean return of stock price. This study used the data of 30 stock price of the company listed in Main Board of Kuala Lumpur Stock Exchange from January 2000 until December 2005. Using the most recent set of data, this paper employs the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model as introduced by Bollerslev (1986) and Taylor (1986). The GARCH model has been used to determine the mean return of the stock price for each company that has been selected. The result from descriptive statistics analysis provides evidence to suggest the existence of seasonality in the stock markets. Overall, evidence supporting the presence of the day of-the-week effect is documented in 24 companies. The analysis showed that the maximum mean return (positive) occurred in the day of Tuesday and lowest (negative) in the day of Monday. This study founds that returns were statistically different in day of Monday and Friday. Friday returns are more positive compared to all days.