A study on religious and secular holiday effect: evidence from Malaysian stock market

A study on religious and secular holiday effect: evidence from Malaysian stock market

This paper investigates the presence of holiday effect in the Malaysian stock market by comparing daily stock returns on the trading day around holiday period with the daily stock returns on normal trading days. To examine the holiday effect more specifically, the public holidays in Malaysia are cat...

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Main Author: Loh, Hui San
Format: Thesis
Language:eng
eng
Published: 2013
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/5143/1/s812356.pdf
https://etd.uum.edu.my/5143/2/s812356_abstract.pdf
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institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Ahmad, Norafifah
topic HG Finance
spellingShingle HG Finance
Loh, Hui San
A study on religious and secular holiday effect: evidence from Malaysian stock market
description This paper investigates the presence of holiday effect in the Malaysian stock market by comparing daily stock returns on the trading day around holiday period with the daily stock returns on normal trading days. To examine the holiday effect more specifically, the public holidays in Malaysia are categorized into religious holiday and secular holiday. The sample of this study comprises daily closing price of FTSE Bursa Malaysia KLCI over a period of eight years from year 2005 to 2012. This paper uses one trading day before and after a holiday to represent the pre- and post-holiday effects. The holiday effects are analysed using descriptive analysis and regression analysis with dummy variable. Results show that the secular holiday effect is stronger than the religious holiday effect in the Malaysian stock market. However, when the impact of global financial crisis is considered, the secular holiday effect in Malaysia disappears during and after the global financial crisis. Only the return during postreligious holiday trading day exhibits significant effect after the crisis. The prereligious holiday effect does not exist in the Malaysian stock market. This study concludes that the Malaysian stock market is not informationally efficient sinceholiday effect is present in the stock market. However, the holiday effect in Malaysia is not persistent and tends to disappear over time. Investors should therefore increase their awareness if they wish to realizeabnormal return from the holiday anomalies in the market
format Thesis
qualification_name masters
qualification_level Master's degree
author Loh, Hui San
author_facet Loh, Hui San
author_sort Loh, Hui San
title A study on religious and secular holiday effect: evidence from Malaysian stock market
title_short A study on religious and secular holiday effect: evidence from Malaysian stock market
title_full A study on religious and secular holiday effect: evidence from Malaysian stock market
title_fullStr A study on religious and secular holiday effect: evidence from Malaysian stock market
title_full_unstemmed A study on religious and secular holiday effect: evidence from Malaysian stock market
title_sort study on religious and secular holiday effect: evidence from malaysian stock market
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2013
url https://etd.uum.edu.my/5143/1/s812356.pdf
https://etd.uum.edu.my/5143/2/s812356_abstract.pdf
_version_ 1747827870164582400
spelling my-uum-etd.51432022-10-06T06:56:28Z A study on religious and secular holiday effect: evidence from Malaysian stock market 2013 Loh, Hui San Ahmad, Norafifah Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This paper investigates the presence of holiday effect in the Malaysian stock market by comparing daily stock returns on the trading day around holiday period with the daily stock returns on normal trading days. To examine the holiday effect more specifically, the public holidays in Malaysia are categorized into religious holiday and secular holiday. The sample of this study comprises daily closing price of FTSE Bursa Malaysia KLCI over a period of eight years from year 2005 to 2012. This paper uses one trading day before and after a holiday to represent the pre- and post-holiday effects. The holiday effects are analysed using descriptive analysis and regression analysis with dummy variable. Results show that the secular holiday effect is stronger than the religious holiday effect in the Malaysian stock market. However, when the impact of global financial crisis is considered, the secular holiday effect in Malaysia disappears during and after the global financial crisis. Only the return during postreligious holiday trading day exhibits significant effect after the crisis. The prereligious holiday effect does not exist in the Malaysian stock market. This study concludes that the Malaysian stock market is not informationally efficient sinceholiday effect is present in the stock market. However, the holiday effect in Malaysia is not persistent and tends to disappear over time. Investors should therefore increase their awareness if they wish to realizeabnormal return from the holiday anomalies in the market 2013 Thesis https://etd.uum.edu.my/5143/ https://etd.uum.edu.my/5143/1/s812356.pdf text eng public https://etd.uum.edu.my/5143/2/s812356_abstract.pdf text eng public masters masters Universiti Utara Malaysia Abadir, K. M., & Spierdijk, L. (2005).Liquidity constraints and the demand for assets: An application to the festivity effect. Available at SSRN: http://ssrn.com/abstract=829484. Abdullah I. Al Ashikh. (2012). Testing the weak-form of efficient market hypothesis and the day-of-the-week effect in Saudi Stock Exchange: Linear approach. International Review of Business Research Papers, 8(6), 27-54. Agrawal, A., & Tandon, K. (1994). Anomalies or illusions?Evidence from stock markets in eighteen countries.Journal of International Money and Finance, 13, 83-106. Ahmad, Z., & Hussain, S. (2001). KLSE long run overreaction and the Chinese New Year effect. 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