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 (Unpublished)
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Official URL: http://vlib.mmu.edu.my/webdb/item/more.php?id=6738...
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) |
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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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