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Seasonality effects on the stock markets / Faridah Hanim Wakimin

This project paper study the existence of seasonality in Malaysia stock market. This study is attempted to identify the effects of seasonality towards mean return of stock price. This study used the data of 30 stock price of the company listed in Main Board of Kuala Lumpur Stock Exchange from Januar...

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Main Author: Wakimin, Faridah Hanim
Format: Student Project
Language:English
Published: 2006
Subjects:
Investment, capital formation, speculation
Stock price indexes. Stock quotations
Malaysia
Online Access:https://ir.uitm.edu.my/id/eprint/74144/1/74144.pdf
https://ir.uitm.edu.my/id/eprint/74144/
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spelling my.uitm.ir.741442023-03-24T00:16:57Z https://ir.uitm.edu.my/id/eprint/74144/ Seasonality effects on the stock markets / Faridah Hanim Wakimin Wakimin, Faridah Hanim Investment, capital formation, speculation Stock price indexes. Stock quotations Malaysia This project paper study the existence of seasonality in Malaysia stock market. This study is attempted to identify the effects of seasonality towards mean return of stock price. This study used the data of 30 stock price of the company listed in Main Board of Kuala Lumpur Stock Exchange from January 2000 until December 2005. Using the most recent set of data, this paper employs the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model as introduced by Bollerslev (1986) and Taylor (1986). The GARCH model has been used to determine the mean return of the stock price for each company that has been selected. The result from descriptive statistics analysis provides evidence to suggest the existence of seasonality in the stock markets. Overall, evidence supporting the presence of the day of-the-week effect is documented in 24 companies. The analysis showed that the maximum mean return (positive) occurred in the day of Tuesday and lowest (negative) in the day of Monday. This study founds that returns were statistically different in day of Monday and Friday. Friday returns are more positive compared to all days. 2006 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/74144/1/74144.pdf Seasonality effects on the stock markets / Faridah Hanim Wakimin. (2006) [Student Project] (Submitted)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Investment, capital formation, speculation
Stock price indexes. Stock quotations
Malaysia
spellingShingle Investment, capital formation, speculation
Stock price indexes. Stock quotations
Malaysia
Wakimin, Faridah Hanim
Seasonality effects on the stock markets / Faridah Hanim Wakimin
description This project paper study the existence of seasonality in Malaysia stock market. This study is attempted to identify the effects of seasonality towards mean return of stock price. This study used the data of 30 stock price of the company listed in Main Board of Kuala Lumpur Stock Exchange from January 2000 until December 2005. Using the most recent set of data, this paper employs the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model as introduced by Bollerslev (1986) and Taylor (1986). The GARCH model has been used to determine the mean return of the stock price for each company that has been selected. The result from descriptive statistics analysis provides evidence to suggest the existence of seasonality in the stock markets. Overall, evidence supporting the presence of the day of-the-week effect is documented in 24 companies. The analysis showed that the maximum mean return (positive) occurred in the day of Tuesday and lowest (negative) in the day of Monday. This study founds that returns were statistically different in day of Monday and Friday. Friday returns are more positive compared to all days.
format Student Project
author Wakimin, Faridah Hanim
author_facet Wakimin, Faridah Hanim
author_sort Wakimin, Faridah Hanim
title Seasonality effects on the stock markets / Faridah Hanim Wakimin
title_short Seasonality effects on the stock markets / Faridah Hanim Wakimin
title_full Seasonality effects on the stock markets / Faridah Hanim Wakimin
title_fullStr Seasonality effects on the stock markets / Faridah Hanim Wakimin
title_full_unstemmed Seasonality effects on the stock markets / Faridah Hanim Wakimin
title_sort seasonality effects on the stock markets / faridah hanim wakimin
publishDate 2006
url https://ir.uitm.edu.my/id/eprint/74144/1/74144.pdf
https://ir.uitm.edu.my/id/eprint/74144/
_version_ 1761622410920984576
score 13.211869

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