Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) pattern of daily Kuala Lumpur Stock Exchange returns. We address a total of four research questions using both a simple OLS model and a GARCH (1,1) specification. Three daily return measures, CTC, OTC, CTO are...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KLSE and RIIAM
2003
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/28415/ http://irep.iium.edu.my/28415/ http://irep.iium.edu.my/28415/1/Azhar_CMR.pdf |