The Day of the Week Effect on Bursa (Bourse) Malaysia ShariahCompliant Market

The different between investments in Shariah compliant stocks and conventional stock is that, while the former is based on the capital market set of rules and law, the latter follows not only the capital market set of laws and but also the Islamic principles of transactions. Most of the previous studies examine issues related to the conventional stocks and market. The present study take one step further by investigating issue related to Shariah-compliant instrument. Specifically, thepresent study examines the weekend effect of the Islamic Shariahindex return proxy by the Kuala Lumpur Shariah Index (KLSI), FBM Emas Shariah and FBM Hijrah Emas Shariah. Using the OLS technique, for the period from 21 May 2007 until 19 September 2008, the study finds that the day of the week effect is presence only in Malaysian Shariah market of KLSI and not for FBM Emas Shariah and FBM Hijrah Shariah. Specifically, the result show that there is significant negative Monday return and positive Friday returns in the Kuala Lumpur Shariah Index. The result suggests that the market is not purely efficient, a findings similar to those of conventional stock market in many countries