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. In: Malaysia Finance Association's (MFA's) 5th Annual Symposium, 23-24 April 2003, Cyberjaya, Kualal Lumpur. (Unpublished)

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Abstract

This paper examines the impact of Stock Index Futures (SIF) trading on Day of Week (DOW) pattern of daily KLSE 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 and CTO are used. The impact on DOW pattern of the new T+3 day settlement is also examined.

Item Type:	Conference or Workshop Item (UNSPECIFIED)
Additional Information:	3334/28481
Uncontrolled Keywords:	KLSE, stock index futures
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 (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User:	Dr Azhar Mohamad
Date Deposited:	13 Jan 2013 20:14
Last Modified:	23 Jul 2021 15:16
URI:	http://irep.iium.edu.my/id/eprint/28481

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