Document Type
Conference Item
Publication Date
10-1-2009
Abstract
This study aims to investigate the calendar effect in Malaysia Shariah-Cornpliant stocks returns. FTSE Bursa Malaysia Hijrah Shariah (FBMHS) Index is employed. AR(l) in the mean equation and EGARCH (1.1) as variance equation are used to analyze the volatility. Evidence of significant Friday effect, January effect and February effect are found in the FBMHS Index. After conforming the presence of day of the week and month of the year effects, we re-examine one effect by adding another effect in the variance model. We find Friday, January and February effects still exist. However, none of the calendar effects increase or decrease the volatility.
Keywords
Shariah-compliant, stockretums, volatility, GARCH, EGARCH
Divisions
FacultyofEconomicsAdministration
Event Title
Proceedings of 2009 International Conference on Economics, Business Management and Marketing
Event Location
Singapore
Event Dates
9-11 Oct 2009
Event Type
conference