January effect: the existence in Malaysia stock market / Muhamad Faiz Irwan Fadzil

Fadzil, Muhamad Faiz Irwan (2013) January effect: the existence in Malaysia stock market / Muhamad Faiz Irwan Fadzil. Degree thesis, Universiti Teknologi MARA, Kelantan.

Abstract

Past studies in the United States, Canada and Australia indicated the existence of seasonality effect, i.e. “January effect” due to taxes imposed on the capital gains in these countries. This paper attempted to find out whether or not this conclusion is also true in the case of Malaysia where there is no tax imposed on the capital gains. Initial observations showed that there is January effect in the year 2007. The mean daily return of January in year 2007 recorded the highest mean score compared to other months studied. Higher mean daily standard deviation in the month of January than other months somewhat reinforce the existence of January effects in the Malaysian market in the year 2007. However, the F-statistic indicated that the overall differences among these months were not statistically significant, which means there is no January effect or even seasonality effect in Malaysia

Metadata

Item Type: Thesis (Degree)
Creators:
Creators
Email / ID Num.
Fadzil, Muhamad Faiz Irwan
2010979745
Contributors:
Contribution
Name
Email / ID Num.
Thesis advisor
Mohd Rashid, Siti Norbaya binti
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Profits. Corporate profits
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
Divisions: Universiti Teknologi MARA, Kelantan > Kota Bharu Campus > Faculty of Business and Management
Keywords: Seasonal effect, January effect, tax-related selling hypothesis, efficient market hypothesis, Kuala Lumpur Stock Exchange
Date: December 2013
URI: https://ir.uitm.edu.my/id/eprint/33671
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