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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 http://proquest.umi.com/pqdweb?did=29430485&sid=1&Fmt=2&clientId=68814&RQT=3 09&VName=PQD 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. More Like This - Find similar documents 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