Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah

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...

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Bibliographic Details
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
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id	my-uitm-ir.94804
record_format	uketd_dc
spelling	my-uitm-ir.948042024-05-29T16:40:54Z Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah 2017-01 Arman Shah, Amelia Zasha Investment, capital formation, speculation 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 basis, it was partitioned into three sub-periods which is pre-crisis period, crisis period and post-crisis period during the Global Financial Crisis while for full period basis it is partitioned into eleven months which is from January until November and used December as its benchmark. This research has failed to provide the existence of monthly effect in Kuala Lumpur Composite Index for the three sub-periods. However, when the full period was examined, the regression results found that the returns are negative and significant for August during the full period. 2017-01 Thesis https://ir.uitm.edu.my/id/eprint/94804/ https://ir.uitm.edu.my/id/eprint/94804/1/94804.pdf text en public degree Universiti Teknologi MARA, Johor Bachelor of Business Administration (HONS) Finance Ismail, Noor Izah Shamsuddin, Shukri
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Ismail, Noor Izah Shamsuddin, Shukri
topic	Investment capital formation speculation
spellingShingle	Investment capital formation speculation Arman Shah, Amelia Zasha Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah
description	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 basis, it was partitioned into three sub-periods which is pre-crisis period, crisis period and post-crisis period during the Global Financial Crisis while for full period basis it is partitioned into eleven months which is from January until November and used December as its benchmark. This research has failed to provide the existence of monthly effect in Kuala Lumpur Composite Index for the three sub-periods. However, when the full period was examined, the regression results found that the returns are negative and significant for August during the full period.
format	Thesis
qualification_level	Bachelor degree
author	Arman Shah, Amelia Zasha
author_facet	Arman Shah, Amelia Zasha
author_sort	Arman Shah, Amelia Zasha
title	Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah
title_short	Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah
title_full	Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah
title_fullStr	Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah
title_full_unstemmed	Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah
title_sort	calendar effect in malaysia stock market / amelia zasha arman shah
granting_institution	Universiti Teknologi MARA, Johor
granting_department	Bachelor of Business Administration (HONS) Finance
publishDate	2017
url	https://ir.uitm.edu.my/id/eprint/94804/1/94804.pdf
_version_	1804889938017124352

Calendar effect in Malaysia stock market / Amelia Zasha Arman Shah

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