Calendar Effects On The Malaysian Stock Exchange - A Study On Sector Specific

The emphasis on sector specific investment strategies has led to the emergence of industry specific calendar anomalies. This research attempted to find out whether the January, Monday, and Holiday effects exist in eight selected industry sectors in the Bursa Malaysia. Daily sectors' indices were gathered starting from January 1995 up to December 2004. A non parametric, Kruskal Wallis test support the existence of the January effect in the Malaysian stock market when all the null hypotheses are accepted. Thus, it shows that all sectors have a significant January effect. However, the result of Kruskal-Wallis evidenced that the existence of the Monday effect only existed in three sectors, namely the construction, finance and technology sectors. There were no pre and post holiday effect found in all holidays in the sectors under this study. Our results emphasize that understanding on calendar effect might enable the investors to get into the right timing of investing a new fund or trading in the specific industry sectors.