Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model

DOI10.1080/03610926.2018.1433846MaRDI QIDQ5078426zbMATH OpenOpenAlexFDO

Authors Qaiser Munir, Kok Sook Ching

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://eprints.ums.edu.my/24132/1/Revisiting%20calendar%20effects%20in%20Malaysian%20finance%20stocks%20market.pdf

zbMATH Keywords

day-of-the-week effectMalaysian finance stocksmonth-of-the-year effectweak form efficiency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating and Testing Linear Models with Multiple Structural Changes
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Threshold heteroskedastic models

Cited in

(2)

• Dynamic causality between stock return and exchange rate: is stock-oriented hypothesis more relevant in Malaysia?
• scientific article; zbMATH DE number 5620847 (Why is no real title available?)

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