Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen and Syed Khalid Wafa, Syed Azizi Wafa (2006): Calendar anomalies in the Malaysian stock market.
Download (212kB) | Preview
This study examines the calendar anomalies in the Malaysian stock market. Using various generalized autoregressive conditional heteroskedasticity models; this study reveals the different anomaly patterns in this market for before, during and after the Asian financial crisis periods. Among other important findings, the evidence of negative Monday returns in post-crisis period is consistent with the related literature. However, this study finds no evidence of a January effect or any other monthly seasonality. The current empirical findings on the mean returns and their volatility in the Malaysian stock market could be useful in designing trading strategies and drawing investment decisions. For instance, as there appears to be no month-of-the-year effect, long-term investors may adopt the buy-and-hold strategy in the Malaysia stock market to obtain normal returns. In contrast, to obtain abnormal profit, investors have to deliberately looking for short-run misaligned price due to varying market volatility based on the finding of day-of-the-week effect. Besides, investors can use the day-of-the-week effect information to avoid and reduce the risk when investing in the Malaysian stock market. Further analysis using EGARCH and TGARCH models uncovered that asymmetrical market reactions on the positive and negative news, rendering doubts on the appropriateness of the previous research that employed GARCH and GARCH-M models in their analysis of calendar anomalies as the later two models assume asymmetrical market reactions.
|Item Type:||MPRA Paper|
|Original Title:||Calendar anomalies in the Malaysian stock market|
|Keywords:||calendar anomalies; Malaysia; stock market; GARCH models; day-of-the-week effect; month-of-the-year effect|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
|Depositing User:||Venus Khim-Sen Liew|
|Date Deposited:||19 Oct 2006|
|Last Modified:||29 Nov 2016 20:43|
Brooks, C. and Persand, G. (2001), “Seasonality in Southeast Asian Stock Markets: some new evidence on Day of the week Effects”, Applied Economics Letters, 8, 155-158.
Choudhry, T. (1995), “Integrated-GARCH and Non-stationary Variances: Evidence from European Stock Markets during the 1920s and 1930s”, Economics Letters, 48, 55-59.
Choudhry, T. (2001), “Month of the year Effect and January Effect in Pre-WW1 Stock Returns: Evidence from a nonlinear GARCH model”, International Journal of finance and Economics, 6, 1 – 11.
Clare, A.D., Ibrahim, M.S.B., and Thomas, S.H. (1998), “The Impact of Settlement Procedures on Day-of-the-week Effects: Evidence from the Kuala Lumpur Stock Exchange”, Journal of Business Finance & Accounting, 25(3) & (4), April/May, 401–418.
Davidson, S., and Peker, A. (1996), “Malaysian Evidence on the Robustness of the Day-of-the-week Effect”, Capital Markets Review, 4(2), 15–29.
Engle, R.F. and Ng, V.K. (1993), “Measuring and Testing the Impact of News on Volatility”, Journal of Finance, 48, 1022 – 1082.
Fawson, C., Glover, T.F., Fang W. and Chang, T. (1996), “The Weak-form Efficiency of the Taiwan Share Market”, Applied Economics Letters, 3, 663–667.
Foo, M.W. and Kok, K.L. (2000), “Seasonal Anomalies of Stocks on the Kuala Lumpur Stock Exchange Second Board”, Capital Market Review, 8, 123 – 145.
French, K.R. (1980), “Stock Returns and the Weekend Effect”, Journal of Financial Economics, 8, 55-69.
Gibbons, M.R. and Hess, P.J. (1981), “Day of the Week Effect and Asset Returns”, Journal of Business, 54, 579-596.3
Glosten, L.R., Jaganathan, R. and Runkle, D. (1993), “On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks”, Journal of Finance, 48, 1779–1801.
Goh, K.L. and Kok, K.L. (2004), “Time-of-the-Day Effect in the Malaysian Stock Market”, Labuan Bulletin of International Business and Finance, 2 (1), 31-49.
Hentschel, L. (1995), “All in the family Nesting Symmetric and Asymmetric GARCH models”, Journal of Financial Economics, 39, 71-104.
Ho, Y.K. (1990), “Stock Return Seasonality in Asia Pacific Markets”, Journal of International Financial Management and Accounting, 2, 47-77.
Ho, Y.K. and Cheung, Y.L. (1991), “Behavior of Intra-daily Stock Return on an Asian Emerging Market - Hong Kong”, Applied Economics, 23, 957-966.
Jaffe, J.F. and Westerfield, R. (1985), “The Weekend Effect in Common Stock Returns: The International Evidence”, Journal of Finance, 40, 433-454.
Jang, H. and Sul, W. (2002), “The Asian Financial Crisis and the Co-movement of Asian Stock Markets”, Journal of Asian Economics, 13, 94-104.
Johnson, S., Boone, P., Breach, A., and Friedman, E. (2000), “Corporate Governance in the Asian financial crisis”, Journal of Financial Economics, 58, 141-186.
Kok, K.L. (2001), “Seasonal Anomalies of Stocks in Some Asia-Pacific Stock Markets”, Proceedings of the Malaysian Finance Association Third Annual Symposium, 601 – 612.
Kok, K.L. and Wong, Y.C. (2004a), “Seasonal Anomalies of Stocks in ASEAN Equity Markets”, Sunway College Journal, 1, 1-11. Kok, K.L. and Wong, Y.C. (2004b), “Time-of-the-month Anomaly in ASEAN Equity Markets”, Labuan Bulletin of International Business and Finance, 2, 137-145. Lucey, B.M. (2000), “Anomalous Daily seasonality in Ireland?” Applied Economics Letters, 7, 637 – 640.
Lutkepohl, H. (1991), “Introduction to Multiple Time Series Analysis”, Springer-Verlag.
Mishkin, F.S. (1999), “Lessons from the Asian crisis”, Journal of International Money and Finance, 18, 709–723.
Nassir, A.M. and S. Mohammad. (1987a), “What Weekend does to KLSE, “Investors Digest, August, 3–4.
Nassir, A.M. and S. Mohammad. (1987b), “The January effect on Stocks Traded on the KLSE: An Empirical Analysis”, Hong Kong Journal of Business Management, 5, 33-50.
Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59, 347–370.
Niarchos, N.A. and Alexakisi, C.A. (2003), “Intraday Stock Price Patterns in the Greek Stock Exchange”, Applied Financial Economics, 13, 13–22.
Rogalski, R.J. (1984), “New findings regarding day-of-the-week returns over trading and non-trading periods: a note”, Journal of Finance, 39(5), 1603–1614.
Wong K.A., Hui T.K. and Chan C. (1992), “Day of the week Effect: Evidence from developing stock market”, Applied Financial Economics, 2, 49–56.
Wong, P.L., Neoh, S.K., Lee, K.H. and Thong, T.S. (1990), “Seasonality in the Malaysian Stock Market”, Asia Pacific Journal of Management, 7 (special issue), 43–62.
Zakoian, J.M. (1994), “Threshold Heteroskedastic Models”, Journal of Economic Dynamics and Control, 18, 931-944.