Short-Term Overreaction: Implications For Stock Market Efficiency In Malaysia

dc.contributor.authorDHAMOTHARAN, LALITHA
dc.date.accessioned2016-11-15T08:16:33Z
dc.date.available2016-11-15T08:16:33Z
dc.date.issued2008
dc.description.abstractThis study empirically investigates the short-term behaviour of stocks listed on the main board of Bursa Malaysia during the period of January 2000 to December 2007. The objectives were to determine whether the overreaction phenomenon occurs during this time frame as well as assert whether investors can profit by exploiting this anomaly and further extend the investigations to determine if the excess profits would be feasible after incorporating transaction costs. The findings of this research provide mixed results. Price reversals were observed when comparing the period as a whole, but the results were not statistically significant. It was concluded that during a normal cycle with less turbulence caused by a crisis, the market did not portray traces of overreaction. As a matter of relevance to investors and analysts who might want to gauge how the market moves during different cycles, this research provides a comparison of the findings during two time frames, the past decade that involves the financial crisis period with the current post crisis period or normal cycle. The results signify that during the bullish period, only '\ the loser portfolio exhibited reversals whereas the winner portfolio exhibited momentum during the pre-crisis period. On the contrary, during the bearish period, only the post crisis period seems. to exhibit overreaction with significant excess profits. Thus, this study concludes that during normal cycle and the bullish period of a normal cycle, the Malaysian market can be considered to be weak form efficient. During the bearish period of the nonnal cycle, the market shows some signs of reversals for the winner and arbitrage portfolios and the study attributes these findings to overreaction.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/3083
dc.subjectShort-Term Overreactionen_US
dc.subjectImplications For Stock Market Efficiency In Malaysiaen_US
dc.titleShort-Term Overreaction: Implications For Stock Market Efficiency In Malaysiaen_US
dc.typeThesisen_US
Files
License bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: