The Impact of Settlement Procedures on Day‐of‐the‐week Effects: Evidence from the Kuala Lumpur Stock Exchange
利用吉隆坡证券交易所1983至1993年的日度数据，发现星期效应在1990年结算程序改革后基本消失，说明市场微观结构是解释此类异常的关键。
Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite Index (KLSI) we examine the day‐of‐the‐week effect. Our initial findings indicate that there is a marginally significant negative Monday effect (in keeping with US studies) and a significant positive Wednesday and Thursday effect for the whole period. We consider a number of possible explanations for these results including the impact of: closed market effects ; the time zone hypothesis ; market size and price ; the January Effect ; and the possibility of mismeasured risk . However, we believe that the most likely cause of the seasonal effects documented between 1983 and 1993, can be traced to the pre‐1990 settlement procedures on the Kuala Lumpur Stock Exchange since we find that after this date nearly all of the seasonal variation in daily stock returns disappears. Thus we highlight in this paper the importance of considering the microstructure of financial markets in empirical tests of apparent market anomalies.