Efficient Marketplace Hypothesis and Market Anomaly

Intercontinental Journal of Economics and Finance

Vol. 2, No . 2; May well 2010

Successful Market Hypothesis and Industry Anomaly: Facts

from Day-of-the Week A result of Malaysian Exchange

Nik Maheran Nik Muhammad & Nik Muhd Naziman Abd. Rahman

Faculty of Business Administration, Universiti Teknologi Mara, Kelantan Kampus Kota Bharu, 15150, Kota Bharu, Kelantan Malaysia

Tel: 60-12-966-5402

E-mail: [email protected] uitm. edu. my


The actions of prices in the stock market happen to be among a few phenomena that have cut through the boundaries of academic disciplines and still have cumulative analysis evidence comprising almost a century. Today the field of financial market research appears to be at the thrilling stage of " crisis” – previous results are being questioned, and new alternatives are getting proposed. The preliminary proof indicates which the initial assurance in the Efficient Market Speculation (EMH) might have been misplaced. Various anomalies and inconsistent results make EMH fail to illustrate trading businesses in real life. The presence of work schedule anomalies have been documented widely for the last 2 decades in financial market segments. However , for the Malaysian market, scientific analyses on the market anomaly were limited and contradicting. Some studies indicated market particularite exist and some indicated non-exist. Hence, the present study was trying to desired for the answer of next questions: Is the return about common stocks usually allocated, as much as finance theory presumes? How has the volatility of stock results changed after some time? How is a distribution of returns affected by past returns? Generally, it had been found that, day in the week-effect exist in Malaysian Exchange but only for the Monday effect. Keywords: Efficient Market Speculation, Market Anomaly, Day of the week result 1 . Intro

The circulation of comes back on prevalent stocks is one of the

most widely studied in the economic market and

the presence of diary anomalies has become documented thoroughly for the last twenty years. The most common types are the day-of-the week effect and the January effect. Many investigations (e. g. Aggarwal and Rivoli 1989; Cross 1973; French 1980; Keim and Stambaugh, 1984; Rogalski, 1984) has recorded that the division of inventory return different according to the time of the week. For the Malaysian industry, empirical analyses on the day-of-the week result were limited and contradicting. Study by Wong et al. (1992) noted which the day-of-the week effect intended for Malaysian markets showed bad average results on Monday and excessive positive results on Thurs night and Comes to an end. Analyses simply by Anuar and Shamser (1993) and Mansor (1997) substantiated the presence of the day-of-the week effect located by Wong et al. (1992). However , it contradicting with other research of Marashdeh (1994) when he concluded that there was clearly no week effect in the Malaysian currency markets in his sample of examine. Substantial proof supporting the Efficient Marketplace Hypothesis (EMH) also has been documented over the years. EMH states that security rates fully indicate all readily available information and can immediately adapt to the arrival of new info (Adam, 2004). However , since market was closed on both Weekend and Weekend, it was argued that traders cannot do anything with the industry even though they got a few information during the weekend. There may be where the anomalies exist.

The primary idea with this study is to investigate whether the information highly processed over saturdays and sundays will impact the index go back of Kuala Lumpur (i. e. Composite Index (KLCI) at after the opening on Monday). This analyze relates the elements of efficient market hypothesis (EMH) and market abnormality. Thus, the study tried to find out whether the day-of-the week result really is out there in Kuala Lumpur Amalgamated Index. The objectives in the present research was (1) to analyze empirically whether the day time of the week effect can be found in Kuala Lumpur Composite resin Index; and (2) To examine whether variations of the impact...

References: Abraham, A. and D. Ikenberry. (1994). " The Individual Trader and the Weekend Effect”. Log of Financial

and Quantitative Analysis twenty nine: 263-277.

Hersker, D. (2004). " Publicized Investment Advice: Announcement Effects and Abnormal Returns”.

Aggarwal, R., and P. Rivoli. (1989). " Seasonal and Day of the Week Results in 4 Emerging Inventory Markets. ”

Financial Review 24: 541-550.

Anuar M. N and Shamser Meters. (1993). " The Performance of the Kuala Lumpur Stock market: A Collection of

Scientific Findings, Malaysia”: Penerbitan Universiti Pertanian.

Balaban, E. (1995). " Day of the Week Effects: New Evidence by an Rising Market. ” Applied Economics

Letters two: 139-143.

Ball, R. L. and Brown, P. (1968). " An empirical analysis of accounting income quantities, " Diary of

Accounting Research six, 159-178.

Barone, E. (1990). " The Italian Stock Market: Efficiency and Calendar Particularite. ” Journal of Financial and

Financing 14: 483-510.

Bildik, L. (1999). Calendar Effect in Instanbul Stock exchange. Journal of Financial Economic. 75(2), 283-317.

Chen Y. and Liang, W. (2004). " Timing Ability in the Target Market of Asian country” Journal of Finance, 59(6):


Claessens, S. and Gooptu, H. (eds. ) (1993). Profile investments in growing countries, Universe Bank

Debate Papers, 228.

Claessens, T. and Rhee, M. W. (1994). The Effects of Barriers in Equity Purchase in Expanding Countries,

The World Bank Insurance plan Research Papers, 1263.

Cornelius, P. E. (1993). A Note on the Educational Efficiency of Emerging Share Markets,

Weltwirtschaftliches Archiv, 129, 820-8.

Cross, F. (1973). " The behaviour of Stock Prices upon Friday and Mondays. ” Financial Analysts Journal twenty nine: 67-69.

DeBondt and Thaler. (1990). Carry out Security Analysts Overreact? American Economic Assessment, 80(2), 52-57

Dimitrios and Katerina (2003)

Dreaman, D. N and Lufkin. (2000). Investor overreaction: Evidence that its basis is psychological, The Journal of

Mindset and Economic Markets, Volume

Fama, E. F. (1965). The Behavior of Stock Market Rates, Journal of Business, twenty eight, 34-105.

People from france, K. L. (1980). " Stock Returns and the Weekend Effect. ” Journal of Finance and Economics almost eight: 55-70.

Lot of money, P. (1999). " Happen to be Stock Returns Different Over Weekends? A Jump Konzentrationsausgleich Analysis of the Weekend

Effect”. 1-19.

Gao L. and Gerhard Kling. (2005). Appointments Effects in Chinese Stock Market. Journals of economics and


Hakan, B. and K. Halil. (2001). " The Day of the Week Impact on Stock Market Volatility. ” Diary of Economics

and Finance 25(2): 181-190

Ho, 3rd there’s r. Y. and Y. Cheung. (1994). " Seasonal Style in Volatility in Asian Stock Market segments. ” Utilized Financial

Economics 4: 61-67.

Hauser, S., Marcus, Meters., and Yaari, U. (1994). Investing in Rising Markets: Could it be Worthwhile Hedging Foreign

Exchange Risk? Record of Collection Management, (Spring), 76-81.

Jaffe, J. and R. Westerfield. (1985). " The Weekend Effect in keeping Stock Results: The Foreign

Evidence. ” Journal of Finance 40: 433-454.

Keim, D. N and 3rd there’s r. Stambaugh. (1984). " Another Investigation in the Week End Effect in Stock Go back. ”

Diary of Finance and Economies 39: 819-835.

Kok, K. L. and Y. C. Wong. (2004). " Seasonal Anomalies of Stocks in ASEAN Collateral Markets. ” Sunway

School Journal one particular: 1-11.

Lakonishok, J. and S. Smidt. (1989). " Are Seasons Anomalies Actual? A Ninety-Year Perspective. ” The review of

Financial Studies you: 403-425.

Mansor H. Ibrahim. (1997). " New Proof on Working day of-the Week Effect inside the Malaysian Stock Market. ” Capital

Market Opinions 5(1): 23-33.

Marashdeh, Um. (1994). " Calendar Anomalies: Evidence coming from Four Asian-Pacific Stock Markets. ” KELOLA 7:


Mullin, J. (1993). Emerging Equity Market segments in the Global Economy, Federal Reserve Bank of New You are able to

Quarterly Assessment, 18, 54-83.

Paul A., and Theodore P. (2006) " Modeling and Forecasting Volatility of Returns within the Ghana Stock market

Using GARCH Models”, Diary of appearing market in finance, 4(2), 115-132

Rogalski, R. (1984). " New Findings Concerning Day of the Week Returns over Trading and No Trading

Periods. ” Record of Financing and Financial systems 39: 1603- 1614.

Sekaran, U. (2003). " Research Methods for Organization. ” (4th Edition). David Wiley & Sons, Inc.

Smirlock, Meters. and Starks, L. (1986). Day-of-the-week and intraday effects in share returns, Record of Financial

Economics, 17, 197–210.

Solnik, B. and L. Bousquet. (1990). " Day-of-the-week Effect on the Paris Bourse. ” Log of Financial and

Financing 14: 461-468.

Thomas, They would. (2002). " Trends and Calendar Effects in Inventory Returns” Aussie Technical Experts Association

Log, 222-234.

Wong, K. Big t. Hui and C. Chan. (1992). " Day-of-the-week results: Evidence coming from developing stock markets. ”

Applied Financial Economics two: 49-56.

Yong, O. (1995). " Affect of the End-of-the week Activities of the New York Stock Exchange and the

Tokyo Stock Exchange on the Beginning of-the-week Functionality of the KLSE. ” Capital Markets Assessment

Table 1 ) Summary statistic for daily index of KLCI (n=2085)


Example of a company Plan Dissertation

Ratusmili. com Strategy Executive Brief summary Ratusmili. com is set to be an internet ecommerce business that is planning to produce and sell liquid containers that are…...


Clinical Performance of the next Year Nursing jobs Student of Bulacan Point out University Institution Year 2011-2012 Essay

CHAPTER I actually THE PROBLEM AS WELL AS BACKGROUND This chapter addressed conceptualizing the investigation. Wherein, it provided a short introduction regarding the topic that raised the intellectual…...

 Personal Development Essay

Personal Development Essay

PERSONAL GROWTH YOU HOPE TO GAIN FROM YOUR UNIVERSITY EDUCATION FOR MONROE Knowledge is such a powerful tool that possessing it might increase a person's values in society.…...

 CASELET two Essay

CASELET two Essay

CASELET Bus. Ed. 2 Published to: Ms. Rea At the. Kibir Submitted simply by: Group two Hazel Ann Cuysona Mother.…...


Effects of Cultural Problem Between Youth Article

The social evils that are hurting our society today could hardly be catalogued, they are uncountable in the accurate sense with the assertion. Among the prominent social problems are the escalating…...

 Essay in El Vergon

Essay in El Vergon

 Weekly Timetable 1301. 102 Reading Assignments must be accomplished prior to going to class. Tues Thursday 03/18: Welcome back! The Underworld…...