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

• Main Authors: Mohamad, Azhar, Bacha, Obiyathulla Ismath, Ibrahim, Mansor
• 格式: Conference or Workshop Item
• 语言: English; English
• 出版: 2003
• 主题: HG4001 Financial management. Business finance. Corporation finance.; HG4501 Stocks, investment, speculation
• 在线阅读: http://irep.iium.edu.my/28481/1/MFA_5th_Symposium_Proceedings_Detail.pdf; http://irep.iium.edu.my/28481/2/Azhar_CMR.pdf; http://irep.iium.edu.my/28481/; http://vlib.mmu.edu.my/webdb/item/more.php?id=6738&searchit=

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...