Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
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 D...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
2003
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/28481/ http://irep.iium.edu.my/28481/ http://irep.iium.edu.my/28481/1/MFA_5th_Symposium_Proceedings_Detail.pdf http://irep.iium.edu.my/28481/2/Azhar_CMR.pdf |