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Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange

Mohamad, Azhar and Bacha, Obiyathulla Ismath and Ibrahim, Mansor (2003) Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange. KLSE Capital Markets Review, 11 (1 & 2). pp. 1-22.

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Abstract

This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) pattern of daily Kuala Lumpur Stock Exchange returns. We address a total of four research questions using both a simple OLS model and a GARCH (1,1) specification. Three daily return measures, CTC, OTC, CTO are used. The impact of DOW pattern on the new T+3 day settlement is also examined. As documented in previous studies, we see evidence of a DOW pattern in daily stock returns in the period prior to SIF introduction. However in the period of following SIF introduction the DOW pattern diminishes. The null hypothesis that mean daily returns are equal across the week cannot be rejected. The T+3 day settlement rule also had an impact on stock market DOW pattern. Between SIF and trading rule change, while the SIF introduction reduced the DOW effect substantially, the T+3 implementation eliminated even the marginal individual day effects.

Item Type: Article (Journal)
Additional Information: 3334/28415
Uncontrolled Keywords: stock exchange, future trading
Subjects: H Social Sciences > HG Finance > HG4001 Financial management. Business finance. Corporation finance.
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Dr Azhar Mohamad
Date Deposited: 13 Jan 2013 19:33
Last Modified: 25 Feb 2015 21:31
URI: http://irep.iium.edu.my/id/eprint/28415

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