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The impact of settlement procedures on day-of-the-week effects: evidence from the Kuala Lumpur Stock Exchange

Clare, A.D., Ibrahim, M.S.B. and Thomas, S.H. (1998) The impact of settlement procedures on day-of-the-week effects: evidence from the Kuala Lumpur Stock Exchange Journal of Business Finance and Accounting, 25, (3-4), pp. 401-418. (doi:10.1111/1468-5957.00194).

Record type: Article

Abstract

Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite Index (KLSI) we examine the day-of-the-week effect. Our initial findings indicate that there is a marginally significant negative Monday effect (in keeping with US studies) and a significant positive Wednesday and Thursday effect for the whole period. We consider a number of possible explanations for these results including the impact of: closed market effects; the time zone hypothesis; market size and price; the January Effect; and the possibility of mismeasured risk. However, we believe that the most likely cause of the seasonal effects documented between 1983 and 1993, can be traced to the pre-1990 settlement procedures on the Kuala Lumpur Stock Exchange since we find that after this date nearly all of the seasonal variation in daily stock returns disappears. Thus we highlight in this paper the importance of considering the microstructure of financial markets in empirical tests of apparent market anomalies.

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Published date: 1998

Identifiers

Local EPrints ID: 37370
URI: http://eprints.soton.ac.uk/id/eprint/37370
ISSN: 0306-686X
PURE UUID: 5b2c64b9-6ee9-4bf6-a4ea-ce5c561a0d19

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Date deposited: 23 Apr 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: A.D. Clare
Author: M.S.B. Ibrahim
Author: S.H. Thomas

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