Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah

• Main Author: Arman Shah, Amelia Zasha
• Format: Thesis
• Language: English
• Published: 2017
• Subjects: Investment, capital formation, speculation
• Online Access: https://ir.uitm.edu.my/id/eprint/94804/1/94804.pdf; https://ir.uitm.edu.my/id/eprint/94804/
• Institution: Universiti Teknologi Mara

This paper investigates the existence of the monthly effect in the Malaysia stock market between January 2004 and December 2015. The sample size is 144 and the data was obtained monthly. The data was partitioned into two-time frame which is sub-period basis and full period basis. For sub-period basi...