LEVEL

CONSTANT

CONSTANT CONSTANT
CONSTANT CONSTAN
CONSTANT
& TREND
&TREND
& TREND
MONTH/SECTO
KLSE CONSUMER
KLSE INDUSTRIAL
KLSE CONSTRUCTION
KLSE FINANCE
R
PRODUCTS
PRODUCTS
-5.205874
-5.1666
-3.012202
-2.931338
-4.688063
-5.426824
-4.760823
-4.656087
MONDAY
[-3.012363]
[-3.644963]
[-2.646119]
[-3.644963]
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963
-4.728612
-4.69683
-4.637701
-5.037372
-3.254063
-3.185669
-4.750871
-4.678156
TUESDAY
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963
-4.966557
-4.827366
-5.365289
-5.332681
-2.656608
-3.009216
-4.894092
-4.951053
WEDNESDAY
[-3.020686]
[-3.658446]
[-3.012363]
[-3.644963]
[-2.46119]
[-3.644963]
[-3.029970]
[-3.673616
-5.327913
-5.42351
-6.095043
-6.232504
-2.926769
-3.182674
-7.621824
-7.414334
THURSDAY
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963]
[-2.660551]*
[-3.690814]
[-3.012636]
[-3.644963
-5.006075
-4.764908
-4.56403
-4.445354
-4.248442
-4.19283
-5.575881
-5.642514
FRIDAY
[-3.052169]
[-3.710482]
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963]
[-3.012363]
[-3.644963
Table 4. ADF Test for mean daily return in case of Monday Effect for KLSE Construction, KLSE Consumer Products, KLSE Finance
and KLSE Industrial Products

[ ] data significant at 5% level

[ ]* data significant at 10% level

CONSTANT
& TREND

CONSTANT

Table 4. ADF Test for mean daily return in case of Monday Effect for KLSE Plantation, KLSE Properties, KLSE Technology and
KLSE Trading-Services

LEVEL
MONTH/SECTO
R
MONDAY
TUESDAY
WEDNESDAY
THURSDAY
FRIDAY

CONSTANT

CONSTANT
& TREND

KLSE PLANTATION
-5.504335
[-2.971853]
-4.388148
[-2.971853]
-4.900783
[-2.971853]
-5.057496
[-2.971853]
-4.295693
[-2.976263]

-5.54286
[-3.580623]
-4.33112
[-3.580623]
-4.920521
[-3.580623]
-5.285739
[-3.580623]
-3.623955
[-3.595026]

[ ] data significant at 5% level

[ ]* data significant at 10% level

CONSTANT

CONSTANT
& TREND

KLSE PROPERTIES
-3.102898
[-3.012363]
-5.067917
[-3.020686]
-5.178853
[-3.020686]
-4.591377
[-2.971853]
-4.431229
[-2.976263]

-3.802969
[-3.261452]*
-5.103668
[-3.286909]
-5.034626
[-3.658446]
-5.192832
[-3.580623]
-4.509801
[-3.595026]

CONSTANT

CONSTANT
& TREND

KLSE TECHNOLOGY
-2.654666
[-2.650413]
-4.813412
[-3.012363]
-3.468502
[-3.012363]
-5.888064
[-3.020686]
-3.8111555
[-3.012363]

-7.178799
[-3.644963]
-5.93705
[-3.644963]
-3.333588
[-3.261452]
-5.757619
[-3.658446]
-3.657124
[-3.644963]

CONSTANT
& TREND
KLSE TRADINGSERVICES
-4.76824
-5.66404
[-3.020686]
[-3.673616]
-6.856287
-7.098445
[-3.012363]
[-3.644963]
-4.78335
-4.54987
[-3.012363]
[3.644963]
-4.017762
-3.941476
[-3.012363]
[-3.644963]
-5.493708
-6.096474
[-3.012363]
[-3.644963]

CONSTANT

Table 4. ADF Test for mean monthly return in case of January Effect for KLSE Construction, KLSE Consumer Products, KLSE
Finance and KLSE Industrial Products from January to August
LEVEL
MONTH/SECTOR
JANUARY
FEBRUARY
MARCH
APRIL
MAY
JUNE
JULY
AUGUST

CONSTANT

CONSTANT
& TREND

KLSE CONSTRUCTION
-4.227508
[-2.967767]
-4.937687
[-2.967767]
-5.806287
[-2.967767]
-5.525374
[-2.967767]
-7.164989
[-2.967767]
-5.134521
[-2.967767]
-3.930149
[-2.981038]
-4.142652
[-2.967767]

[ ] data significant at 5% level

[ ]* data significant at 10% level

-4.273939
[-3.574244]
-4.861655
[-3.574244]
-5.778912
[-3.574244]
-6.146916
[-3.574244]
-5.486929
[-3.574244]
-5.074828
[-3.574244]
-5.486929
[-3.632896]
-4.194855
[-3.574244]

CONSTANT
& TREND
KLSE CONSUMER
PRODUCTS

CONSTANT

-4.739786
[-2.967767]
-4.002789
[-2.967767]
-5.100765
[-2.967767]
-4.032734
[-2.967767]
-5.667086
[-2.967767]
-4.872307
[-2.96776]7
-5.161291
[-2.967767]
-3.865757
[-2.971853]

-5.094162
[-3.574244]
-3.980072
[-3.574244]
-5.000354
[-3.574244]
-3.810305
[-3.574244]
-5.565709
[-3.574244]
-5.457009
[-3.574244]
-6.118375
[-3.574244]
-4.468879
[-3.580623]

CONSTANT

CONSTANT
& TREND

KLSE FINANCE
-4.316628
[-2.967767]
-5.268909
[-2.967767]
-5.235651
[-2.967767]
-6.210139
[-2.967767]
-5.80618
[-2.967767]
-4.619572
[-2.967767]
-4.296367
[-2.967767]
-6.978522
[-2.967767]

-4.291375
[-3.574244]
-5.064018
[-3.574244]
-5.047049
[-3.574244]
-6.112738
[-3.574244]
-5.805849
[-3.574244]
-3.129381
[-3.095026]
-3.479714
[-3.233456]*
-6.840214
[-3.574244]

CONSTAN
& TREND
KLSE INDUSTRIAL
PRODUCTS

CONSTANT

-4.361777
[-2.967767]
-4.615479
[-2.967767]
-3.934288
[-2.967767]
-4.989589
[-2.967767]
-2.81674
[-2.642242]*
-5.270997
[-2.967767]
-5.2896
[-2.967767]
-6.997909
[-2.967767]

-4.37475
[-3.574244
-4.561688
[-3.574244
-4.469514
[-3.574244
-5.48916
[-3.574244
-2.282407
[-3.632896
-5.490028
[-3.574244
-5.190241
[-3.574244
-6.901279
[-3.574244

Table 4. ADF Test for mean monthly return in case of January Effect for KLSE Construction, KLSE Consumer Products, KLSE
Finance and KLSE Industrial Products from September to December
LEVEL
MONTH/SECTOR
SEPTEMBER
OCTOBER
NOVEMBER
DECEMBER

CONSTANT

CONSTANT
& TREND

KLSE CONSTRUCTION
-3.075718
[-2.998064]
-5.589717
[-2.967767]
-4.533082
[-2.967767]
-5.74897
[-2.967767]

-3.592772
[-3.248592]*
-5.605164
[-3.574244]
-4.452024
[-3.612199]
-6.025498
[-3.574244]

[ ] data significant at 5% level

[ ]* data significant at 10% level

CONSTANT
& TREND
KLSE CONSUMER
PRODUCTS

CONSTANT

-4.721542
[-2.971853]
-6.110495
[-2.967767]
-3.684596
[-2.971853]
-4.802635
[-2.967767]

-5.389643
[-3.580623]
-6.015004
[-3.574244]
-4.011741
[-3.580623]
-4.729141
[-3.574244]

CONSTANT

CONSTANT
& TREND

KLSE FINANCE
-5.98707
[-2.967767]
-2.711968
[-2.625121]*
-4.268046
[-2.967767]
-11.76563
[-2.967767]

-5.875114
[-3.574244]
-4.771845
[-3.574244]
-4.117706
[-3.574244]
-12.27105
[-3.574244]

CONSTANT
& TREND
KLSE INDUSTRIAL
PRODUCTS

CONSTANT

-4.917415
[-2.967767]
-5.921314
[-2.967767]
-5.149059
[-2.967767]
-4.488845
[-2.967767]

-4.831443
[-3.574244]
-5.94321
[-3.574244]
-5.140312
[-3.574244]
-4.408184
[-3.574244]

Table 4. ADF Test for mean monthly return in case of January Effect for KLSE Plantation, KLSE Properties, KLSE Technology and
KLSE Trading-Services from January to August

LEVEL

CONSTANT

MONTH/SECTO
R
JANUARY

-5.426406

-4.829536

-1.629557

-2.447097

-5.17345

-5.343988

[-2.967767]

[-3.587527]

[-2.971853]

[-3.580623]

[-2.967767]

[-3.574244]

[-2.971853]

[-3.580623]

-5.689095
[-2.967767]
-5.010774
[-2.967767]
-5.67935
[-2.967767]
-5.074017
[-2.967767]
-4.244201
[-2.967767]
-6.011911
[-2.967767]
-4.853733
[-2.967767]

-5.876885
[-3.574244]
-4.928824
[-3.574244]
-5.706815
[-3.574244]
-5.074017
[-2.967767]
-4.863427
[-3.574244]
-6.231585
[-3.574244]
-4.834999
[-3.574244]

-4.830687
[-2.967767]
-5.833256
[-2.967767]
-3.229285
[-2.981038]
-4.220596
[-2.967767]
-4.555533
[-2.967767]
-4.46307
[-2.967767]
-5.666327
[-2.967767]

-4.806722
[-3.574244]
-5.733414
[-3.574244]
-3.25672
[-3.233456]*
-4.287377
[-3.574244]
-4.517912
[-3.574244]
-4.376664
[-3.574244]
-5.53081
[-3.574244]

-6.790414
[-2.967767]
-5.557805
[-2.967767]
-6.265444
[-2.967767]
-5.163933
[-2.967767]
-5.675699
[-2.967767]
-6.378413
[-2.967767]
-6.468708
[-2.967767]

-7.326429
[-3.574244]
-5.500992
[-3.574244]
-4.496894
[-3.612199]
-5.138563
[-3.574244]
-5.5811
[-3.574244]
-6.500756
[-3.574244]
-6.330122
[-3.574244]

-9.782209
[-2.967767]
-6.088995
[-2.967767]
-6.985937
[-2.967767]
-4.896495
[-2.967767]
-4.605902
[-2.967767]
-4.33866
[-2.967767]
-3.842385
[-2.967767]

-9.669748
[-3.574244]
-5.956864
[-3.574244]
-7.995457
[-3.574244]
-4.802565
[-3.574244]
-4.685746
[-3.574244]
-4.408953
[-3.574244]
-3.783271
[-3.580623]

FEBRUARY
MARCH
APRIL
MAY
JUNE
JULY
AUGUST

CONSTANT
&TREND
KLSE PLANTATION

[ ] data significant at 5% level

[ ]* data significant at 10% level

CONSTAN CONSTANT
T
& TREND
KLSE PROPERTIES

CONSTANT

CONSTANT
& TREND
KLSE TECHNOLOGY

CONSTAN CONSTANT
T
& TREND
KLSE TRADINGSERVICES
-4.715009
-5.096087

Table 4. ADF Test for mean monthly return in case of January Effect for KLSE Plantation, KLSE Properties, KLSE Technology and
KLSE Trading-Services from September to December

LEVEL
MONTH/SECTO
R
SEPTEMBER
OCTOBER
NOVEMBER
DECEMBER

CONSTANT

CONSTANT
&TREND

KLSE PLANTATION
-7.857623
[-2.967767]
-3.641107
[-2.967767]
-5.10854
[-2.967767]
-6.660353
[-2.967767]

[ ] data significant at 5% level

[ ]* data significant at 10% level

-8.381845
[-3.574244]
-3.69399
[-3.574244]
-5.014816
[-3.574244]
-6.547979
[-3.574244]

CONSTANT

CONSTANT CONSTANT CONSTANT

& TREND
& TREND

KLSE PROPERTIES
-3.429746
[-2.967767]
-2.979925
[-2.635542]*
-5.28677
[-2.967767]
-5.723452
[-2.967767]

-3.980553
[-3.574244]
-3.895271
[-3.243079]
-5.715638
[-3.574244]
-5.745777
[-3.574244]

KLSE TECHNOLOGY
-5.146734
[-2.967767]
-4.701964
[-2.967767]
-5.947927
[-2.967767]
-5.707362
[-2.967767]

-5.111945
[-3.574244]
-5.403354
[-3.574244]
-6.006232
[-3.574244]
-5.749681
[-3.574244]

CONSTANT
& TREND
KLSE TRADINGSERVICES
-6.065615
-6.093721
[-2.967767]
[-3.574244]
-8.092892
-8.089481
[-2.967767]
[-3.574244]
-6.3662
-6.65235
[-2.967767]
[-3.574244]
-5.924192
-5.873175
[-2.971853]
[-3.580623]

CONSTANT

Table 4. ADF Test for mean daily return in case of Turn of the month Effect for KLSE Construction, KLSE Consumer Products,
KLSE Finance and KLSE Industrial Products from January to August

LEVEL
MONTH/SECTO
R
JANUARY
FEBRUARY
MARCH
APRIL
MAY
JUNE
JULY
AUGUST

CONSTANT

CONSTAN
T & TREND

KLSE CONSTRUCTION
-5.370184
[-2.967767]
-4.349835
[-2.967767]
-3.416255
[-2.976263]
-1.639876
[-2.998064]
-6.471323
[-2.967767]
-5.884059
[-2.967767]
-6.020571
[-2.967767]
-7.375102
[-2.967767]

[ ] data significant at 5% level

[ ]* data significant at 10% level

-5.607486
[-3.574244[
-4.270338
[-3.574244]
-3.306467
[-3.22923]*
-1.529032
[-3.622033]
-6.439279
[-3.574244]
-6.18018
[-3.574244]
-6.065833
[-3.574244]
-7.274319
[-3.574244]

CONSTANT
& TREND
KLSE CONSUMER
PRODUCTS
-4.415084
-4.603529
[-2.967767]
[-3.574244]
-5.726982
-6.045449
[-2.967767]
[-3.574244]
-6.13535
-6.049388
[-2.967767]
[-3.574244]
-5.369594
-5.598036
[-2.967767]
[-3.574244]
-6.298625
-6.335998
[-2.967767]
[-3.574244]
-4.525995
-4.854843
[-2.967767]
[-3.574244]
-5.927216
-5.892498
[-2.967767]
[-3.574244]
-6.122444
-6.17006
[-2.967767]
[-3.574244]

CONSTANT

CONSTAN
T

CONSTANT
& TREND

KLSE FINANCE
-4.983123
[-2.967767]
-5.617035
[-2.967767]
-4.880289
[-2.971853]
-3.711408
[-2.967767]
-4.943734
[-2.991878]
-5.487505
[-2.967767]
-5.050036
[-2.967767]
-5.487372
[-3.004861]

-4.931252
[-3.574244]
-5.559872
[-3.574244]
-4.524697
[-3.574244]
-3.475783
[-3.221728]*
-4.835751
[-3.612199]
-5.581519
[-3.574244]
-5.34398
[-3.574244]
-4.138841
[-3.632896]

CONSTAN CONSTANT
T
& TREND
KLSE INDUSTRIAL
PRODUCTS
-5.626828
-5.653338
[-2.967767] [-3.574244]
-5.07493
-5.347463
[-2.967767] [-3.574244]
-5.369587
-5.640389
[-2.967767] [-3.574244]
-7.385051
-7.427605
[-2.967767] [-3.574244]
-5.082095
-4.990402
[-2.967767] [-3.574244]
-5.566494
-5.646462
[-2.967767] [-3.574244]
-5.19123
-5.264955
[-2.967767] [-3.574244]
-4.741248
-4.651801
[-2.967767] [-3.574244]

Table 4. ADF Test for mean daily return in case of Turn of the month Effect for KLSE Construction, KLSE Consumer Products,
KLSE Finance and KLSE Industrial Products from September to December

LEVEL
MONTH/SECTOR
SEPTEMBER
OCTOBER
NOVEMBER
DECEMBER

CONSTANT

CONSTANT
& TREND

KLSE CONSTRUCTION
-3.040455
[-2.971853]
-4.973958
[-2.967767]
-4.808842
[-2.967767]
-4.884142
[-2.967767]

[ ] data significant at 5% level

[ ]* data significant at 10% level

-7.532915
[-3.574244[
-5.097514
[-3.574244]
-4.725388
[-3.574244]
-4.914714
[-3.574244]

CONSTANT
& TREND
KLSE CONSUMER
PRODUCTS
-4.885231
-5.3434
[-2.967767]
[-3.580623]
-5.794567
-6.641458
[-2.967767]
[-3.574244]
-5.413733
-5.326867
[-2.967767]
[-3.574244]
-4.676329
-4.586499
[-2.967767]
[-3.574244]

CONSTANT

CONSTANT CONSTANT
& TREND
KLSE FINANCE
-5.32207
[-2.967767]
-6.074004
[-2.967767]
-5.310748
[-2.967767]
-5.539102
[-2.967767]

-5.593137
[-3.574244]
-5.963367
[-3.574244]
-5.159987
[-3.574244]
-5.375307
[-3.574244]

CONSTANT &
TREND
KLSE INDUSTRIAL
PRODUCTS
-3.800178
-1.897443
[-2.967767]
[-3.622033]
-5.384638
-5.526978
[-2.967767]
[-3.574244]
-4.204652
-4.126912
[-2.967767]
[-3.574244]
-3.157195
-3.041892
[-2.986225]
[-3.038054]*

CONSTANT

Table 4. ADF Test for mean daily return in case of Turn of the Month for KLSE Plantation, KLSE Properties, KLSE Technology and
KLSE Trading-Services from January to August

LEVEL
MONTH/SECTOR
JANUARY
FEBRUARY
MARCH
APRIL
MAY
JUNE
JULY
AUGUST

CONSTANT

CONSTANT CONSTANT CONSTANT

& TREND
& TREND

KLSE PLANTATION
-4.901114
[-2.967767]
-4.515774
[-2.967767]
-5.352724
[-2.967767]
-6.273656
[-2.967767]
-4.874368
[-2.967767]
-5.829292
[-2.967767]
-7.688797
[-2.967767]
-5.40688
[-2.967767]

[ ] data significant at 5% level

[ ]* data significant at 10% level

-5.643251
[-3.574244]
-4.708531
[-3.574244]
-5.270553
[-3.574244]
-6.210151
[-3.574244]
-5.266094
[-3.574244]
-5.831076
[-3.574244]
-7.592497
[-3.574244]
-5.363598
[-3.574244]

KLSE PROPERTIES
-3.638574
[-2.971853]
-3.864688
[-2.967767]
-5.861446
[-2.967767]
-5.511159
[-2.971853]
-4.994307
[-2.967767]
-3.465453
[-2.967767]
-4.28644
[-2.967767]
-5.319164
[-2.971853]

-3.66921
[-3.580623]
-3.699511
[-3.574244]
-5.845388
[-3.574244]
-5.397427
[-3.580623]
-6.222354
[-3.574244]
-3.389093
[-3.574244]
-4.201564
[-3.574244]
-5.215776
[-3.580623]

CONSTANT CONSTANT
& TREND
KLSE TECHNOLOGY
-5.04116
[-2.967767]
-4.894209
[-2.971853]
-4.523148
[-2.967767]
-5.897422
[-2.967767]
-8.668316
[-2.967767]
-4.800977
[-2.971853]
-7.193416
[-2.967767]
-5.127887
[-2.967767]

-5.876339
[-3.574244]
-5.307997
[-3.580623]
-4.596565
[-3.574244]
-5.811281
[-3.574244]
-8.596319
[-3.574244]
-4.703627
[-3.580623]
-7.408896
[-3.574244]
-5.521211
[-3.574244]

CONSTANT
& TREND
KLSE TRADINGSERVICES
-5.765852
-5.719584
[-2.967767]
[-3.574244]
-5.474846
-5.363665
[-2.967767]
[-3.574244]
-6.264556
-6.10237
[-2.967767]
[-3.574244]
-5.342367
-5.208083
[-2.967767]
[-3.574244]
-2.982329
-2.359804
[-2.971853]
[-3.580623]
-7.292799
-7.148047
[-2.971853]
[-3.580623]
-7.190462
-7.204417
[-2.967767]
[-3.574244]
-8.764504
-8.459848
[-2.967767]
[-3.574244]

CONSTANT

Table 4. ADF Test for mean daily return in case of January Effect for KLSE Plantation, KLSE Properties, KLSE Technology and
KLSE Trading-Services from September to December

LEVEL
MONTH/SECTOR
SEPTEMBER
OCTOBER
NOVEMBER
DECEMBER

CONSTANT

CONSTANT
& LINEAR

KLSE PLANTATION
-5.220264
[-2.967767]
-6.00785
[-2.967767]
-5.472172
[-2.967767]
-8.849493
[-2.967767]

[ ] data significant at 5% level

[ ]* data significant at 10% level

-5.386567
[-3.574244]
-6.234225
[-3.574244]
-5.347048
[-3.574244]
-8.773171
[-3.574244]

CONSTANT CONSTANT
& LINEAR
KLSE PROPERTIES
-5.217968
[-2.967767]
-6.637689
[-2.967767]
-4.912
[-2.967767]
-5.985953
[-2.967767]

-5.225497
[-3.580623]
-6.535635
[-3.574244]
-4.812754
[-3.574244]
-6.311888
[-3.574244]

CONSTANT

CONSTANT
& LINEAR

KLSE TECHNOLOGY
-3.989268
[-2.967767]
-5.13189
[-2.967767]
-6.531455
[-2.967767]
-4.41783
[-2.967767]

-4.135521
[-3.574244]
-5.243163
[-3.574244]
-6.443401
[-3.574244]
-4.339227
[-3.574244]

CONSTANT CONSTANT
& LINEAR
KLSE TRADINGSERVICES
-5.603708
-5.994973
[-2.967767]
[-3.574244]
-8.496335
-8.235566
[-2.967767]
[-3.574244]
-7.779383
-7.682033
[-2.967767]
[-3.574244]
-4.47279
-5.427865
[-2.967767]
[-3.574244]