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An empirical analysis of calendar anomalies in the Malaysian stock market

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  • Shiok Ye Lim
  • Chong Mun Ho
  • Brian Dollery

Abstract

This study investigates the 'day of the week' effect and the 'twist of the Monday' effect for Kuala Lumpur Composite Index for the period May 2000 to June 2006. Our empirical results find support for the Monday effect in that Monday exhibits a negative mean return (-0.09%) and represents the lowest stock returns in a week. The returns on Wednesday are the highest in a week (0.07%), followed by returns on Friday (0.04%). Monday returns were partitioned into positive and negative returns; we found that the Monday effect is clearly visible in a 'bad news' environment, but it failed to appear in 'good news' environment. This study also found evidence on 'twist of the Monday' effect, where returns on Mondays are influenced by previous week's returns and previous Friday's returns. The median return on a Monday following a previous week and a previous Friday with declining returns was -0.21% and -0.26%, respectively. The median return on a Monday following a previous week and a previous Friday with rising returns was 0.02% and 0.13%, respectively. The evidence of negative Monday returns in this period is consistent with the relevant empirical literature.

Suggested Citation

  • Shiok Ye Lim & Chong Mun Ho & Brian Dollery, 2010. "An empirical analysis of calendar anomalies in the Malaysian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 255-264.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:255-264
    DOI: 10.1080/09603100903282648
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    Cited by:

    1. Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.
    2. Cohen, Gil, 2014. "Why don’t you trade only four days a year? An empirical study into the abnormal returns of quarters first trading day," Economics Letters, Elsevier, vol. 124(3), pages 335-337.
    3. Liew, Venus Khim-Sen & Rowland, Racquel, 2016. "The effect of Malaysia general election on stock market returns," MPRA Paper 107982, University Library of Munich, Germany.
    4. Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
    5. Shiok Ye Lim & Ricky Chee-Jiun Chia, 2010. "Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets," Economics Bulletin, AccessEcon, vol. 30(2), pages 996-1005.
    6. Chia Ricky Chee-Jiun & Lim Shiok Ye, 2011. "Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 3113-3122.
    7. Elena Lidia Melnic, 2016. "New Approaches In The Retail Banking System For Creating Long Term Loyalty Relationships With Customers: Case Study On The Romanian Market," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(3), pages 49-64.
    8. Levy, Tamir & Yagil, Joseph, 2012. "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1963-1974.
    9. Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.

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