Firm level stock returns volatility in Malaysia: a sectoral study
This paper analyzes the level of stock returns volatility and identifies causal relationships across different economic sectors in Bursa Malaysia. We found dissimilarities of average stock returns volatility between sectors where firms in the Technology sector exhibit the highest stock returns volat...
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| Format: | Conference or Workshop Item |
| Language: | English English |
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2017
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| Online Access: | https://eprints.ums.edu.my/id/eprint/33862/1/Firm%20level%20stock%20returns%20volatility%20in%20Malaysia_%20A%20sectoral%20study.pdf https://eprints.ums.edu.my/id/eprint/33862/2/Firm%20level%20stock%20returns%20volatility%20in%20Malaysia_%20A%20sectoral%20study%20_ABSTRACT.pdf |
| _version_ | 1796911480544690176 |
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| author | Saizal Pinjaman Sarma Aralas |
| author_facet | Saizal Pinjaman Sarma Aralas |
| author_sort | Saizal Pinjaman |
| collection | UMS |
| description | This paper analyzes the level of stock returns volatility and identifies causal relationships across different economic sectors in Bursa Malaysia. We found dissimilarities of average stock returns volatility between sectors where firms in the Technology sector exhibit the highest stock returns volatility while firms in Telecommunication sector show the lowest volatility. Stock returns volatility is identified to be highly persistent, which suggests the influence of preceding shocks on current volatility level. In addition, there is evidence of leverage effects for the majority of the economic sectors, where negative news produces larger volatility when compared to positive news. Further, in the short run, the relationship of stock returns volatility between several economic sectors is found to be not statistically significant, this supports the possibility of portfolio diversification strategy to minimize risk and optimize return. However, the approach is ineffective in the long run since stock returns volatility of the economic sectors move together. |
| first_indexed | 2024-03-06T03:19:25Z |
| format | Conference or Workshop Item |
| id | ums.eprints-33862 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-03-06T03:19:25Z |
| publishDate | 2017 |
| record_format | dspace |
| spelling | ums.eprints-338622022-08-19T06:11:12Z https://eprints.ums.edu.my/id/eprint/33862/ Firm level stock returns volatility in Malaysia: a sectoral study Saizal Pinjaman Sarma Aralas HG4501-6051 Investment, capital formation, speculation This paper analyzes the level of stock returns volatility and identifies causal relationships across different economic sectors in Bursa Malaysia. We found dissimilarities of average stock returns volatility between sectors where firms in the Technology sector exhibit the highest stock returns volatility while firms in Telecommunication sector show the lowest volatility. Stock returns volatility is identified to be highly persistent, which suggests the influence of preceding shocks on current volatility level. In addition, there is evidence of leverage effects for the majority of the economic sectors, where negative news produces larger volatility when compared to positive news. Further, in the short run, the relationship of stock returns volatility between several economic sectors is found to be not statistically significant, this supports the possibility of portfolio diversification strategy to minimize risk and optimize return. However, the approach is ineffective in the long run since stock returns volatility of the economic sectors move together. 2017 Conference or Workshop Item PeerReviewed text en https://eprints.ums.edu.my/id/eprint/33862/1/Firm%20level%20stock%20returns%20volatility%20in%20Malaysia_%20A%20sectoral%20study.pdf text en https://eprints.ums.edu.my/id/eprint/33862/2/Firm%20level%20stock%20returns%20volatility%20in%20Malaysia_%20A%20sectoral%20study%20_ABSTRACT.pdf Saizal Pinjaman and Sarma Aralas (2017) Firm level stock returns volatility in Malaysia: a sectoral study. In: Proceedings of International Conference on Economics 2017 (ICE 2017), 28-29 November 2017, Universiti Malaysia Sabah, Kota Kinabalu. https://www.ums.edu.my/fpep/files/Saizal.pdf |
| spellingShingle | HG4501-6051 Investment, capital formation, speculation Saizal Pinjaman Sarma Aralas Firm level stock returns volatility in Malaysia: a sectoral study |
| title | Firm level stock returns volatility in Malaysia: a sectoral study |
| title_full | Firm level stock returns volatility in Malaysia: a sectoral study |
| title_fullStr | Firm level stock returns volatility in Malaysia: a sectoral study |
| title_full_unstemmed | Firm level stock returns volatility in Malaysia: a sectoral study |
| title_short | Firm level stock returns volatility in Malaysia: a sectoral study |
| title_sort | firm level stock returns volatility in malaysia a sectoral study |
| topic | HG4501-6051 Investment, capital formation, speculation |
| url | https://eprints.ums.edu.my/id/eprint/33862/1/Firm%20level%20stock%20returns%20volatility%20in%20Malaysia_%20A%20sectoral%20study.pdf https://eprints.ums.edu.my/id/eprint/33862/2/Firm%20level%20stock%20returns%20volatility%20in%20Malaysia_%20A%20sectoral%20study%20_ABSTRACT.pdf |
| work_keys_str_mv | AT saizalpinjaman firmlevelstockreturnsvolatilityinmalaysiaasectoralstudy AT sarmaaralas firmlevelstockreturnsvolatilityinmalaysiaasectoralstudy |