28 research outputs found
Does Syariah-Compliant stocks overreact?
This is a preliminary study on stock overreaction behavior of syariah compliant stock in Bursa Malaysia over the period between January 1988 and December 2009. Results show that syariah compliant stock in Bursa Malaysia, like their conventional counterparts overreact. The overreactions are more pronounced during the sub-period prior to 1997 Asian Financial Crisis and Global 2008 Crisis. After the crisis the overreaction behavior seems to diminish
Impact of Changes in Macroeconomic Factors of Stock Price Performance: A Comparative Analysis of Pre Crisis And Crisis Periods
It is generally believed that changes in economy affect the stock market performance.
It is also believed that changes in stock market in turn will influence the economy as
stock market serves as a leading economic indicator. Many researchers such as Kwon
and Bacon ( 1 997), Chen, Roll and Ross ( 1 986), ArlIT and Johnson ( 1 990) and many
more have investigated this relationship. However, the findings have been somewhat
inconclusive, and thus, there is a need for such study in Malaysia.
The main objective of the study is to investigate whether the changes in Malaysian
macroeconomic factors namely expected inflation, exchange rates, interest rates,
industrial production, money supply and market return can explain its stock price
variability both prior to the crisis and during the crisis periods. The study
investigated which of these six macroeconomic factors significantly influence stock
returns. The study also examined the nature of the relationship between the above
macroeconomic variables and stock returns (negatively related, positively related,
etc). To examine those relationships, monthly data were used. The analyses were divided into two sub-periods, which are January 1 987 to December 1 999 and January
1 987 to December 1 996.
The study adopted the Arbitrage Pricing Theory and the Error Correction Model to
observe the relationship between stock returns and macroeconomic variables
(expected inflation, exchange rates, interest rates, industrial production, money
supply and market return). The findings for sub-period January 1 987 to December
1 999 appear to suggest that Composite Index (a proxy for market return), money
supply, interest rates and exchange rates were dominant factors in determining
portfolio returns. Whereas market performance appeared to be the only common
factor that significantly influenced the sectoral indices movement. Similar
approaches were also employed for pre-crisis period, January 1 987 to December
1 996. The findings confirmed that interest rates, money supply and market return
have significant effect on changes in portfolio returns. While market returns were
found to be the only common factor that significantly influenced the sectoral indices.
However, no significant relationship was observed between changes in exchange
rates and stock returns. Other variables namely industrial production and expected
inflation asserted weak influence on asset pricing during both sub-periods.
Market performance, money supply and exchange rates apparently had a positive
relationship with portfolio returns and sectoral indices return. In contrast, interest
rates and portfolio returns as well as sectoral indices return were found to be
negatively related. In conclusion, the study found that Malaysian stock market is
highly influenced by the changes in Kuala Lumpur Composite Index (a proxy for
market returns), money supply, interest rates and exchange rates
Stock overreaction and financial bubbles: Evidence from Malaysia
This paper attempts to seek linkage between stock overreaction behaviour and financial bubbles in the Malaysian stock market. Monthly data over a period between January 1987 and December 2006 shows no clear evidence of stock overreaction behavior in the market. However, when the study split the analysis into two sub-periods, evidence of stock overreaction behaviour becomes significant in the pre-crisis sub-period, but there is no significant evidence of financial bubbles in the same sub-period. During the post crisis, evidence of stock overreaction seems to diminish, and evidence of financial bubbles however, is observed in the period. This study believes that evidence of bubbles observed in the Malaysian stock market in the post crisis period is due to stock overreaction that took place in the market prior to the crisis
Overreaction of syariah stocks: does size matter?
The purpose of the study is to investigate stock overreaction behavior among syariah stocks in Bursa Malaysia using basic framework of De Bondt and Thaler (1985). Like its conventional counterpart, evidence of stock overreaction behavior is also observed in syariah compliant stocks in Malaysia. The study documents that both winner and loser portfolios experience reversal behavior even after adjustment for size, thus implies that size does not matter. Furthermore, after adjustment for size, loser portfolios outperform winner portfolios in the test period. This indicates that syariah compliant stocks in Malaysia
also provide opportunity of earning abnormal profit by resorting to contrarian strategy
Stock Overreaction Behaviour in Bursa Malaysia: Does the Length of the Formation Period Matter?
This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensitive to the length of the formation period. Using the basic framework of De Bondt and Thaler (1985), this study find that stock overreaction behaviour in this market is sensitive to the length of the formation period. Significant evidence of stock overreaction effect is documented in the longer formation period of up to 5-year, while for the medium formation period of 2-year, there is no clear evidence of stock overreaction behaviour. Evidence of stock overreaction behaviour is also reported for the shorter-term of 1-year, however, it may not be economically profitable after taken into account the transaction cost. This study also shows that size cannot explain the documented overreaction effect. However, the results suggest that the overreaction effect subsided after adjustment to time-varying risk
Does bursa Malaysia overreact?
Findings for the whole period from January 1987 to December 2006 reveal that loser has insignificantly becomes loser and winner has significantly reversed in the subsequent period. Arbitrage portfolio does not provide any significant abnormal return thus, not consistent with the overreaction hypothesis. This is due to the reason that Malaysian investors are overoptimistic. After controlling for size, both small and large stocks have significantly support the overreaction hypothesis even after adjustment for difference in risk. No evidence of January effect is reported during the period; however, there is evidence of Chinese New Year effect documented in the findings. The study also shows that Malaysian Stock Market overreacts prior to 1997 Asian Financial crisis. During the post crisis, the results are not consistent with overreaction hypothesis. One possible reason to this behaviour is that investors are more aware of the phenomenon and have altered their trading strategy. As a result, overreaction behaviour diminishes and stock market gradually becomes efficient in the post crisis. These findings suggest that stock overreaction behaviour in Malaysian stock market only benefited the short-term investors. However, when the strategy is based on a longer formation period such as 5-year formation period, long-term investors are able to earn significant positive abnormal returns
The role of wellbeing on performance in services sector
This study investigated the effects of wellbeing on performance.Organizations should establish a healthy working atmosphere to stimulate performance. Hence, the aim of this study was to describe the role of wellbeing that may influence one’s performance.The hypotheses were empirically tested using Partial Least Square-SEM from a survey of 166 respondents in
services sector.The results of this study indicated that there is a significant relationship between wellbeing and performance.This study sheds additional insights to the importance of wellbeing on performance.Practical implications, limitations, and
suggestions for future research are also discussed
The encumbrance of institutional investor and board of directors in reducing risk of default for conventional bonds and Sukuk in Malaysia
Sukuk yields mimic those of conventional bonds due to having similar features. Sukuk are shariah-compliant securities that offer different structures to those of conventional bonds. Therefore, it is believed that the spreading of yields should also be different. The presence of key institutional investors/owners and certain Board of Directors (BOD) characteristics as highlighted by the Malaysian Code on Corporate Governance (MCCG) may influence the yield to maturity (YTM) of conventional bonds and sukuk. Thus, the main objective of this study is to investigate the relationship between these two yield spreads instruments with corporate governance mechanisms. The data is obtained from firm issuers’ annual reports, the Bondinfo Hub of the Malaysian Central Bank, the Rating Agency Malaysia (RAM), the Malaysian Department of Statistics and Bloomberg databases for the period beginning 2000 to 2014 for 256 and 405 tranches of long-term and medium-term issuances of conventional bonds and sukuk respectively. The most significant findings show that the presence of top-six and other institutional ownerships as corporate governance mechanism proxy insignificantly and significantly reduce yield spreads within the firm revealed by Ordinary Least Square (OLS) and random effects models in long-term and medium-term issuances
Overreaction behaviour of syariah compliant stocks in Malaysia / Norli Ali … [et al.]
Studies on overreaction hypothesis on conventional stocks have been vastly documented in previous research (De Bondt and Thaler 1985, 1987; Spyrou et. al 2005; Saleh 2007 and Morad and Salehi 2011, among others). Recently, Morad and Salehi (2011) found that there has been investor's overreaction and it is possible to earn abnormal return by applying the contrarian strategy (inverse investment strategy) in the Tehran stock exchange. In Malaysia, many published works found evidences of overreaction in stock returns such as studied by Hameed and Ting(2000), Ahmad and Hussain (2001) and Lai et al (2003) Norli et al (2009). Although ample evidences have been presented by previous studies mention above, however, there still lack of research in this area on syariah-compliant stocks. It is known that the characteristics of syariah stocks are different from their conventional counterpart in the sense that for firms to be classified as syariah compliant, they need to meet certain regulations or to posses certain features. Questions may arise whether syariah stocks behave like conventional stocks? Do syariah compliant stocks are also the subjects of stock overreaction behavior? Do these stocks able to generate abnormal returns? This study aims to investigate the behavior of syariah compliant stocks with respect to stock overreaction hypothesis
Short run stock overreaction: evidence from Bursa Malaysia
The objective of this paper is to discuss evidence of short run stock overreaction with respect to the arrival of dramatic events in the Malaysian stock market. The findings reveal that Malaysian stock market overreacts to economic crisis and extraordinary political events. The study shows significant overreaction behaviour existed in this market upon announcement of the removal of the deputy prime minister and announcement of the resignation of the prime minister. In contrast, evidence of underreaction was detected upon announcement of the national election. With regards to dramatic international events, Malaysian stock markets only disclose evidence of stock overreaction behaviour to SARS outbreak