The day of the week effects in Indonesia, Singapore, and Malaysia stock market

Yunita Anwar and Martin Surya Mulyadi

MPRA Paper from University Library of Munich, Germany

Abstract: Efficient market stated that stock’s return is indifferent in each trading day. But, the day of the week effects phenomenon made a different return in each single day in a week. This is an abnormal return which can affect investor in deciding investment strategy, portfolio selection, and profit management. We are researching the day of the week effects in Indonesia, Singapore, and Malaysia stock markets in order to get the information whether this anomaly is exist or not at the three countries. We use AR-EGARCH econometric models to answer our objective. The result shows that there is positive abnormal return on Friday in Indonesia and Malaysia. However, there is no Friday positive abnormal return in Singapore. Besides, our study also concludes that there is no Monday negative abnormal return in all of three countries.

Keywords: The day of the week effects; anomaly; abnormal return; AR-EGARCH (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2009-06
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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