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

DOI10.1080/03610926.2018.1433846OpenAlexW2791305442MaRDI QIDQ5078426

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

month-of-the-year effectday-of-the-week effectMalaysian finance stocksweak form efficiency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• 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

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