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...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Penerbit Universiti Kebangsaan Malaysia
2010
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Online Access: | http://journalarticle.ukm.my/1766/ http://journalarticle.ukm.my/1766/ http://journalarticle.ukm.my/1766/1/322-596-1-SM.pdf |