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 Kuala Lumpur Stock Exchange 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, CTO are...
Saved in:
Main Authors: | Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor |
---|---|
Format: | Article |
Language: | English |
Published: |
KLSE and RIIAM
2003
|
Subjects: | |
Online Access: | http://irep.iium.edu.my/28415/1/Azhar_CMR.pdf http://irep.iium.edu.my/28415/ http://www.mfa.com.my/cmr.html |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003) -
Constant & time-varying hedge ratio for FBMKLCI stock index futures
by: Islam, Mohd Aminul
Published: (2016) -
Short selling and stock returns: evidence from the UK
by: Mohamad, Azhar, et al.
Published: (2013) -
Short selling and stock returns: evidence from the UK
by: Mohamad, Azhar, et al.
Published: (2011) -
Malaysian stock index futures market hedging effectiveness:
symmetric and asymmetric model
by: Haron, Razali, et al.
Published: (2019)