Day-of-The-Week Effect : An Enduring Anomaly in Bursa Malaysia

This study examines the presence of day-of-the-week effect in returns on four indices: Kuala Lumpur Composite Index (KLCI), Mid70 Index, Top100 Index and EMAS Index of Bursa Malaysia. It essentially investigates the evidence for the premise that rational investors and perfect markets exist. The daily returns over a period of 18 years from 1996 to 2014 are tested using both parametric and non-parametric statistics. The study finds strong evidence for day-of-the- week effect that the mean daily returns of every trading day of the week are not significantly equal. There is no evidence for random walk hypothesis. While Monday returns are negative, Friday returns are positive and significantly higher than that of other week days. The enduring day-of-the-week effect in Bursa Malaysia shows no difference between parametric and non-parametric test methods