Date of Award

1-1-2000

Thesis Type

Masters

Document Type

Thesis

Divisions

Faculty of Business and Economics

Department

-

Institution

Universiti Malaya

Abstract

This study examines the stock returns and volatilities of trading and non­trading day for seven KLSE indices from January 3, 1994 to November 26, 1999. Six return series are computed. They are the overnight, open to close, morning, afternoon, close to close and open to open series. There is consistently positive overnight return throughout Monday to Friday. The weekend effect or Monday effect is significantly positive. The returns of the morning, open to close, close to close series are negative particularly on Monday, Tuesday and Thursday. Except for Monday, other weekdays have positive afternoon return. Mean and variance return are significantly different between overnight and open to close series as well as between morning and afternoon series. However, they are insignificant between close to close and open to open return. This study also examines the stock return and volatilities over 3 sub­periods. Sub-period 1 is from January 3, 1994 to December 31, 1996. Sub-period 2 is from January 3, 1997 to August 28, 1998 while sub-period 3 is from September 2, 1998 to November 26, 1999. The overnight return is significantly positive in sub-period 1. It turns negative in sub-period 2 and reverses to positive in sub-period 3. Weekend effect is only significant in sub-period 3. The morning, open to close and close to close returns are significantly negative in sub-period 2. The afternoon return is significantly positive in sub-periods 1 and 3. Equality of mean Is rejected between sub-periods 1 and 2, 2 and 3 as well as 1 and 3 respectively. As for volatility, it is insignificantly different between sub-periods 1 and 2, 2 and 3 as well as 1 and 3 respectively.

Initial

snms

Additional Information

Dissertation (M.A) -- Faculty of Business and Economics, Universiti Malaya, 2000.

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