Existence of the day-of-the-week effect in FTSE Bursa Malaysia

This paper investigates the existence of day-of-the-week effect for ten FTSE Bursa Malaysia indices. Standard procedure of determining calendar anomaly with additional GARCH related models are employed to determine the significance of the day-of-the-week effect. Results suggest that the day-of-the-w...

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Bibliographic Details
Main Authors: Hooi, Hooi Lean, Veronica Kah Min Tan
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2010
Online Access:http://journalarticle.ukm.my/1766/
http://journalarticle.ukm.my/1766/
http://journalarticle.ukm.my/1766/1/322-596-1-SM.pdf