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 forma...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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British Academic Journals
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/52126/1/Stock%20overreaction%20behaviour%20in%20Bursa%20Malaysia%20does%20the%20length%20of%20the%20formation%20period%20matter.pdf |
| _version_ | 1796975686485803008 |
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| author | Ali, Norli Md Nassir, Annuar Hassan, Taufiq Zainal Abidin, Sazali |
| author_facet | Ali, Norli Md Nassir, Annuar Hassan, Taufiq Zainal Abidin, Sazali |
| author_sort | Ali, Norli |
| collection | UPM |
| description | 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. |
| first_indexed | 2024-03-06T09:14:59Z |
| format | Article |
| id | upm.eprints-52126 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:14:59Z |
| publishDate | 2011 |
| publisher | British Academic Journals |
| record_format | dspace |
| spelling | upm.eprints-521262017-05-05T02:59:22Z http://psasir.upm.edu.my/id/eprint/52126/ Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? Ali, Norli Md Nassir, Annuar Hassan, Taufiq Zainal Abidin, Sazali 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. British Academic Journals 2011 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/52126/1/Stock%20overreaction%20behaviour%20in%20Bursa%20Malaysia%20does%20the%20length%20of%20the%20formation%20period%20matter.pdf Ali, Norli and Md Nassir, Annuar and Hassan, Taufiq and Zainal Abidin, Sazali (2011) Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? British Journal of Economics, Finance and Management Sciences, 2 (2). pp. 42-56. ISSN 2048-125X http://www.ajournal.co.uk/EFArticles2(2).htm |
| spellingShingle | Ali, Norli Md Nassir, Annuar Hassan, Taufiq Zainal Abidin, Sazali Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? |
| title | Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? |
| title_full | Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? |
| title_fullStr | Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? |
| title_full_unstemmed | Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? |
| title_short | Stock overreaction behaviour in Bursa Malaysia: does the length of the formation period matter? |
| title_sort | stock overreaction behaviour in bursa malaysia does the length of the formation period matter |
| url | http://psasir.upm.edu.my/id/eprint/52126/1/Stock%20overreaction%20behaviour%20in%20Bursa%20Malaysia%20does%20the%20length%20of%20the%20formation%20period%20matter.pdf |
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