Day-Of-The Week effects and stock market volatility in Malaysian Stock Exchange / Donna Debra Banati

Banati, Donna Debra (2016) Day-Of-The Week effects and stock market volatility in Malaysian Stock Exchange / Donna Debra Banati. [Student Project] (Unpublished)

Abstract

There are many researchers that still debate about the market anomalies specifically in calendar effect anomalies with different results of their analysis. This research paper is designed to study whether there is a day that induces higher stock market return and high volatility. The daily data sample taken for five years start from January 2010 until December 2014. The method that used to measure the return and volatility are Ordinary Least Square and Autoregressive Conditional Heteroscedasticity (ARCH) model respectively. Other test also used to determine the unit root, heteroscedasticity and autocorrelation also in order to avoid the economic problem occur in this study. It is found that day of the week effects exist of in Malaysia whereby there is abnormal return in a particular day for the week. The results show that Tuesday has significant positive and Monday has significant negative value support the study done by Abidin & Mahmood, (2007) that also done in Malaysian stock exchange. It also found that highest returns occur on Tuesday and lowest returns occur on Monday. These findings contradicted with latest study done by Muhammad and Rahman in 2010 whereby the particular day that have significant impact to day of the week effect is Monday and Friday. However, it supports the findings that Monday has the lowest average return. Positive value found in Tuesday is due to active stock buying in Monday and caused drop in stock price on Tuesday.

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Banati, Donna Debra
2013386585
Contributors:
Contribution
Name
Email / ID Num.
Advisor
Rimin, Flicia
flicia885@uitm.edu.my
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities > Malaysia
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 return, volatility, stock exchange
Date: 2016
URI: https://ir.uitm.edu.my/id/eprint/74517
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