The Day of the Week, Turn of the Month and January Effect on Stock Market Volatility and Volume: Evidence from Bursa Malaysia

16 Pages Posted: 1 Oct 2009

See all articles by Huson Joher Ali Ahmed

Huson Joher Ali Ahmed

DEAKIN UNIVERSITY

Ziaul Haque

affiliation not provided to SSRN

Date Written: August 24, 2009

Abstract

This paper focuses on three important calendar events namely day of the week, turn of the month and January effect. Using both a GARCH (1 1)-M model and a mixture of distribution hypothesis (MDH) this paper investigates the return and conditional volatility pattern of the Malaysian stock index over the period from 1994 to 2004. In an attempt to isolate the effect of the 1997 crisis, the sample period is divided into three sub periods namely “pre-crisis”, “during crisis” and “post crisis”. Findings indicate the presence of a week-end effect suggesting Monday returns to be significantly negative across the three sub periods and provide strong explanation for both return volatility pattern on Malaysian capital market. While No clear pattern of January or turn of the month effect was observed for the full sample. However, when the sample period is subdivided based on economic conditions, the turn of the month effect is found to be positive and significant for the pre crisis period and negative and significant for post crisis period. The January effect appeared to be present in the post crisis period only. While volume serves as mixture of distribution explaining return distribution and volatility pattern. While study lend some support to the mixture of distribution hypothesis, The findings imply that the behavioral pattern of Malaysian traders has been changed since the 1997 Asian crisis period, hence shed new light on anomalies study literature.

Keywords: GARCH(1,1)-M, market calendar anomalies, volatility, MDH

JEL Classification: G10, G12, G14

Suggested Citation

Ali Ahmed, Huson Joher and Haque, Ziaul, The Day of the Week, Turn of the Month and January Effect on Stock Market Volatility and Volume: Evidence from Bursa Malaysia (August 24, 2009). Available at SSRN: https://ssrn.com/abstract=1460374 or http://dx.doi.org/10.2139/ssrn.1460374

Huson Joher Ali Ahmed (Contact Author)

DEAKIN UNIVERSITY ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

Ziaul Haque

affiliation not provided to SSRN

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