Is There Day-of-the-week Effect in the Malaysian Stock Market?

Jabatan Kewangan
Fakulti Pengurusan Perniagaan
Universiti Kebangsaan Malaysia
43600 UKM Bangi
Selangor Darul Ehsan



Abstract

This paper looks at the issue of day-of-the-week effect in the case of the Malaysian stock market, which is an emerging stock market in the Asia-Pacific region. The study covers a period between January 1989 and December 1993, using all major indices of the KLSE. Overall, there seems to be an abnormally high return on Fridays, and a low return on Monday, a pattern quite consistent in the West. However, from statistical point of view, this phenomenon is not significant, i.e., the Malaysian stock market is still efficient in the weak sense of the efficient market hypothesis. Our results are in contradiction with those of an earlier study by Md. Nasir and Mohamed which was conducted before the split between the KLSE and SES, but in line with the results of a more recent study by Clare, Ibrahim and Thomas (1998) which find that the day-of-the-week effect disappears after the implementation of the new settlement procedure, called Fixed Delivery and Settlement System (FDSS) beginning in  January 1990.

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Citation

Yong, O., & Ibrahim, I. (1999). Is There Day-of-the-week Effect in the Malaysian Stock Market?. Jurnal Pengurusan, 18, 25–38.

@article{yong1999day,
  title={Is There Day-of-the-week Effect in the Malaysian Stock Market?},
  author={Yong, Othman and Ibrahim, Ismail},
  journal={Jurnal Pengurusan},
 

volume={18},
  number={},
  pages={25—38},
  year={1999},
  doi={},
  publisher={Penerbit UKM},
}

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18 (1999) 25 – 38

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