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The impact of settlement procedures on day-of-the-week effects: Evidence from
the Kuala Lumpur Stock Exchange
A D Clare, M S B Ibrahim, S H Thomas. Journal of Business Finance &
Accounting. Oxford: Apr/May 1998.Vol.25, Iss. 3/4; pg. 401, 18 pgs
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Abstract (Document Summary)
Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite
Index, the day-of-the-week effect is examined. Initial findings indicate that there is a
marginally significant negative Monday effect and a significant positive Wednesday and
Thursday effect for the whole period. A number of possible explanations for these results
are considered, including the impact of: closed market effects; the time zone hypothesis,
market size and price; the January Effect; and the possibility of mis-measured risk.
However, it is believed that the most likely cause of the seasonal effects documented
between 1983 and 1993, can be traced to the pre-1990 settlement procedures on the
Kuala Lumpur Stock Exchange since it is found that after this date nearly all of the
seasonal variation in daily stock returns disappears.
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Subjects: Emerging markets Stock exchanges Securities markets Rates of return
Volatility Regression analysis
Classification Codes 9179 Asia & the Pacific 8130 Investment services 9130
Experimental/theoretical treatment 3400 Investment analysis
Locations: Malaysia Malaysia
Companies: Kuala Lumpur Stock Exchange Kuala Lumpur Stock Exchange
Author(s): A D Clare M S B Ibrahim S H Thomas
Language: English
Publication title: Journal of Business Finance & Accounting