The Day of the Week Effect on Bursa (Bourse) Malaysia Shariah-Compliant Market

The Day of the Week Effect on Bursa (Bourse) Malaysia Shariah-Compliant Market

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Interdisciplinary Journal of Research in Business Vol. 1, Issue. 4, April 2011(pp.29-36) 29 The Day of the Week Effect on Bursa (Bourse) Malaysia Shariah- Compliant Market Raja Noor Jihan R. Abdullah Universiti Teknologi MARA Terengganu, Department of Finance& Islamic Banking Faculty of Business and Management, 23000 Dungun, Terengganu, MALAYSIA Nurul Syuhada Baharuddin Universiti Teknologi MARA Terengganu, Department of Finance& Islamic Banking Faculty of Business and Management, 23000 Dungun, Terengganu, MALAYSIA Norazidah Shamsudin Universiti Teknologi MARA Terengganu, Department of Finance& Islamic Banking Faculty of Business and Management, 23000 Dungun, Terengganu, MALAYSIA Wan Mansor W. Mahmood Universiti Teknologi MARA Terengganu, Department of Finance& Islamic Bankin , Faculty of Business and Management, 23000 Dungun, Terengganu, MALAYSIA Tel: 609 8403774, Fax: 609 8403777 [email protected] Zahariah Sahudin Universiti Teknologi MARA Melaka, Faculty of Business and Management, Melaka, MALAYSIA ABSTRACT The different between investments in Shariah compliant stocks and conventional stock is that, while the former is based on the capital market set of rules and law, the latter follows not only the capital market set of laws and but also the Islamic principles of transactions. Most of the previous studies examine issues related to the conventional stocks and market. The present study take one step further by investigating issue related to Shariah-compliant instrument. Specifically, thepresent study examines the weekend effect of the Islamic Shariah index return proxy by the Kuala Lumpur Shariah Index (KLSI), FBM Emas Shariah and FBM Hijrah Emas Shariah. Using the OLS technique, for the period from 21 May 2007 until 19 September 2008, the study finds that the day of the week effect is presence only in Malaysian Shariah market of KLSI and not for FBM Emas Shariah and FBM Hijrah Shariah. Specifically, the result show that there is significant negative Monday return and positive Friday returns in the Kuala Lumpur Shariah Index. The result suggests that the market is not purely efficient, a findings similar to those of conventional stock market in many countries Keywords: Day of the week, Kuala Lumpur Shariah index, Shariah-compliant, Bursa Malaysia, Information process INTRODUCTION The presence of calendar anomalies has been documented extensively in finance and economic literature for the past two decades. In the real financial markets, investors raise the issue of whether they are able to beat the market in different days of the week, which is refers to the-day-of- the-week effect. It is one of the anomalies phenomenon in which the average daily return of the market is not the same for all the days of the week, contradicting the basic principles of the efficient market theory. The most important calendar effects studied are the day-of-the-week effect (significantly lower/higher returns on some day of the week; usually higher Friday returns and lower Monday returns), the monthly or January effect (relatively higher January returns compare
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This note was uploaded on 10/09/2011 for the course 323 3232 taught by Professor 3232 during the Spring '11 term at Apex College.

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The Day of the Week Effect on Bursa (Bourse) Malaysia Shariah-Compliant Market

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