The movements of prices in the stock market are among a few phenomena that have cut across the boundaries of academic disciplines and have cumulative research evidence spanning almost a century. Today the field of financial market research seems to be at the exciting stage of “crisis” – past results are being questioned, and new solutions are being proposed. The preliminary evidence indicates that the initial confidence in the Efficient Market Hypothesis (EMH) might have been misplaced. Various anomalies and inconsistent results make EMH fail to depict trading operations in real world. The presence of calendar anomalies has been documented extensively for the last two decades in financial markets. However, for the Malaysian market, empirical analyses on the market anomaly were limited and contradicting. Some studies indicated market anomalies exist and some indicated non-exist. Hence, the present study was trying to sought for the answer of following questions: Is the return on common stocks usually distributed, as much as finance theory assumes? How has the volatility of stock returns changed over time? How is the distribution of returns affected by past returns? Generally, it was found that, day of the week-effect exist in Malaysian Exchange but only for the Monday effect.