Calendar Anomalies In The Malaysian Stock Market

• Main Authors: Venus, Khim-Sen Liew, Ricky, Chee-Jiun Chia, Syed Azizi Wafa, Syed Khalid Wafa
• Format: Working Paper
• Language: English
• Published: Universiti Malaysia Sabah (UMS) 2006
• Subjects: HG Finance
• Online Access: http://ir.unimas.my/id/eprint/29595/1/calendar.pdf; http://ir.unimas.my/id/eprint/29595/
• Institution: Universiti Malaysia Sarawak

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 imp...