Calender effect in shariah-compliant stocks returns; Evidence front FTSE Bursa Malaysia hijrah shariah index

Ding, W.H. and Yusof, Z. and Chong, C.S. (2009) Calender effect in shariah-compliant stocks returns; Evidence front FTSE Bursa Malaysia hijrah shariah index. In: Proceedings of 2009 International Conference on Economics, Business Management and Marketing, 9-11 Oct 2009, Singapore.

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Abstract

This study aims to investigate the calendar effect in Malaysia Shariah-Cornpliant stocks returns. FTSE Bursa Malaysia Hijrah Shariah (FBMHS) Index is employed. AR(l) in the mean equation and EGARCH (1.1) as variance equation are used to analyze the volatility. Evidence of significant Friday effect, January effect and February effect are found in the FBMHS Index. After conforming the presence of day of the week and month of the year effects, we re-examine one effect by adding another effect in the variance model. We find Friday, January and February effects still exist. However, none of the calendar effects increase or decrease the volatility.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Shariah-compliant, stockretums, volatility, GARCH, EGARCH
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Economics & Administration
Depositing User: Mr. Mohd Samsul Ismail
Date Deposited: 17 Dec 2014 02:06
Last Modified: 17 Dec 2014 02:06
URI: http://eprints.um.edu.my/id/eprint/11096

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