Calender Anomalies in the Malaysian Stock Market

This study examines the calendar anomalies in the Malaysian stock market. Using various generalized autoregressive conditional heteroskedasticity models, this study divulges the different anomaly patterns in this market for before, during, and after the Asian financial crisis periods. Among other important findings, the evidence of negative Monday returns in post-crisis period is consistent with the related literature. However, this study finds no evidence of a January effect or any other monthly seasonality. The current findings on the mean returns and their volatility in the Malaysian stock market could be useful in designing the trading strategies and drawing investment decisions. For instance, as there appears to be no month-of-the-year effect, long-term investors may adopt the buy-and-hold strategy in the Malaysian stock market to obtain normal returns. In contrast, to obtain abnormal profit, investors have to deliberately look for short-run misaligned price due to varying market volatility based on the findings of the day-of-the-week effect. Besides, investors can use the day-of-the-week effect information to avoid and reduce the risk when investing in the Malaysian stock market. Further analysis, using the EGARCH and TGARCH models, uncovered asymmetrical market reactions on the positive and negative news, rendering doubts on the appropriateness of the previous research that employed the GARCH and GARCH-M models in their analysis of calendar anomalies, as the latter two models assume asymmetrical market reactions.