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...

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Main Authors:	Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor
Format:	Conference or Workshop Item
Language:	English English
Published:	2003
Subjects:	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
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

id	iium-28481
recordtype	eprints
spelling	iium-284812013-02-13T13:27:09Z http://irep.iium.edu.my/28481/ Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation 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. 2003-04-23 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/28481/1/MFA_5th_Symposium_Proceedings_Detail.pdf application/pdf en http://irep.iium.edu.my/28481/2/Azhar_CMR.pdf 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 (Unpublished) http://vlib.mmu.edu.my/webdb/item/more.php?id=6738&searchit=
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. HG4501 Stocks, investment, speculation Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
description	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.
format	Conference or Workshop Item
author	Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor
author_facet	Mohamad, Azhar Bacha, Obiyathulla Ismath Ibrahim, Mansor
author_sort	Mohamad, Azhar
title	Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
title_short	Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
title_full	Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
title_fullStr	Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
title_full_unstemmed	Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
title_sort	daily returns seasonality and impact of stock index futures: evidence from the kuala lumpur stock exchange
publishDate	2003
url	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
first_indexed	2023-09-18T20:42:00Z
last_indexed	2023-09-18T20:42:00Z
_version_	1777409426893832192

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

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