Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model

Munir, Qaiser; Ching, Kok Sook

doi:10.1080/03610926.2018.1433846

Cited by 3 publications

(5 citation statements)

References 23 publications

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“…Following (Jais, Jakpar, Doris, & Shaikh, 2012;Munir & Sook Ching, 2018;Narayan, Narayan, Popp, & Ali Ahmed, 2015) further investigated finance stocks in the Malaysian equity market. A detailed firm-level empirical evidence of calendar anomalies, including day-of-the-week and the month-of-the-year effect, was provided.…”

Section: Calendar Anomalies In Individual Returnsmentioning

confidence: 99%

“…Hence, the anomaly is the consequence of systematic components (Madureira & Leal, 2001). Most of the earlier studies emphasize calendar anomalies test at the aggregate level in equity markets around the globe, but no firm-level comprehensive evidence is presented yet, except for a few focusing on banking sector stocks (Evangelos, 2017;Munir & Sook Ching, 2018) and very limited on component stocks. Thus, this study endeavors to fill this gap in the literature.…”

Section: Introductionmentioning

confidence: 99%

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COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Naz,

Lutfullah,

Zahra

2024

Zagreb International Review of Economics and Business

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The current study scrutinizes the calendar anomalies in the context of the local market by analyzing the Pakistan Stock Exchange (PSX). For this purpose, closing prices of KSE-100, KSE-30 and KSE-All share Index from January, 2009 to June, 2021 have been used as well as a thorough individual firm level analysis is done, taking average log-returns of selected sample firms returns using OLS regression, general GARCH (1,1), asymmetric TGARCH and PGARCH models. The results indicate monthly seasonality, with significant April, July, and September effect in PSX indices returns. The findings of the study reveal that weak form inefficiency exists in Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. Due to global pandemic conditions, investor psychology investors turned circumspect. Consequently, the individual firms’ trading has also reduced.

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Section: Calendar Anomalies In Individual Returnsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Naz,

Lutfullah,

Zahra

2024

Zagreb International Review of Economics and Business

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“…Analysing for the period 1980–2009, Ke et al (2014) found the February effect in the Taiwan stock exchange. Similarly, Munir and Ching (2018) disclosed the presence of month effect on the share value of the selected banking and non-banking companies in Malaysia. In a recent study by Bajaj et al (2019), September effect was detected in Indian stock market.…”

Section: Review Of Literaturementioning

confidence: 99%

Capturing the month of the year effect in the Indian stock market using GARCH models

Acharya

Kaliyaperumal

Mahapatra

2022

XJM

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Purpose In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market. Design/methodology/approach In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect. Findings This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility. Originality/value This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies.

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“…The study however argued the results were unrelated to the January effect due to different tax system in Malaysia. The recent study by Munir & Ching (2019) found the evidence of the presence of certain daily and monthly effect in Malaysian finance stocks market for the year of 1997 until 2014 based on TGARCH model. This indicated inefficiency in the weak-form in Malaysian market.…”

Section: Introductionmentioning

confidence: 99%

“…As such, this study enhances the analysis by considering another form of calendar effect which is quarter-of-theyear effect. Furthermore, this study uses different sample from the recent study by Munir & Ching (2019) as the data are collected from January 2015 until December 2018. To achieve the aim of the study, the GARCH model is performed to encounter the stock market volatility in achieving the objective of the research.…”

Section: Introductionmentioning

confidence: 99%

Stock Market Anomalies: A Case of Calendar Effects on the Malaysian Stock Market

Shariff¹,

Yusof²

2021

MJoC

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The existence of market anomalies for the return reveals the inefficiency in the market that could affect investor investment strategy, portfolio selection, and profit management. It is due to the unpredictable movement of the stock market return that will affect the decision of investors later. As such, this study intends to investigate day of the week effect, a month of the year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018. Based on the findings from Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model analysis, it is found that the daily effect on returns was insignificant. Possible reasons for the insignificant return could be due to the lack of time-series data. However, the significant monthly effect on returns of May, November, and December while the quarterly effect on the returns is found significant in the first quarter. This study also concludes that volatility shock is persistent in the returns for all those three market anomalies.

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Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model

Cited by 3 publications

References 23 publications

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX

Capturing the month of the year effect in the Indian stock market using GARCH models

Stock Market Anomalies: A Case of Calendar Effects on the Malaysian Stock Market

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