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

• 主要な著者: Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor
• フォーマット: 論文
• 言語: English
• 出版事項: KLSE and RIIAM 2003
• 主題: HG4001 Financial management. Business finance. Corporation finance.; HG4501 Stocks, investment, speculation
• オンライン･アクセス: http://irep.iium.edu.my/28415/1/Azhar_CMR.pdf; http://irep.iium.edu.my/28415/; http://www.mfa.com.my/cmr.html

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...