Lim, Shiok Ye; Ho, Chong Mun; Dollery, Brian - In: Applied Financial Economics 20 (2010) 3, pp. 255-264
This study investigates the 'day of the week' effect and the 'twist of the Monday' effect for Kuala Lumpur Composite Index for the period May 2000 to June 2006. Our empirical results find support for the Monday effect in that Monday exhibits a negative mean return (-0.09%) and represents the...