The study examines the day of the week effect on the Kuala Lumpur Composite Index of Bursa Malaysia using the daily data from 4th January 1999 to 29th December 2006. Employing the framework due to Hakan and Halil (2001) the study finds that the day of the week effect is present in Malaysian stock market. Specifically, the results show significant negative and significant positive for Monday and Tuesday, respectively. The Tuesday significant positive effect is possibly due to active buying on Monday because of the drop in price. However, the results of the Tuesday returns contradict almost all of the previous findings. The results indicate that information processed over weekends has affected the return of Kuala Lumpur Composite Index not only during the opening on Monday but also the following days. Thus, we suggest that information will decay only after a few days. The other possible explanation is that by using a more robust estimation on the turbulent sample period data do produce different results from the previous study. We also divide the full sample into two sub samples, we find no evident of the day of the week effect for both four years rolling samples (January 1999 until December 2002 and January 2003 until December 2006). The results of the whole sample seem to be consistent with the previous findings particularly on the Monday returns.