Abstract
The study investigates the Day of the Week (DOW) effect on stock market returns in Malaysia, Indonesia, and the Dow Jones Islamic Market Index (DJIM). Utilizing GARCH models to examine stock return volatility, the study identifies significant calendar anomalies in stock returns, particularly lower returns on Mondays and higher returns on Fridays. These findings challenge the Efficient Market Hypothesis (EMH), suggesting predictable patterns in markets, particularly in emerging economies. This research provides insights into investor behavior and trading strategies, offering practical implications for market practitioners and academics.
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