Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia
This paper explores the effects of two characteristics ubiquitously relevant to the emerging markets in Asia concerning on momentum profitability. By utilising the data of 776 stocks listed on Bursa Malaysia from the period of 2006 to 2014, the study examined how ownership concentration affected mom...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
2018
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| Online Access: | http://psasir.upm.edu.my/id/eprint/69831/1/Impacts%20of%20ownership%20concentration%20and%20liquidity%20on%20stock%20momentum%20profitability%20in%20Malaysia.pdf |
| _version_ | 1825933798983860224 |
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| author | Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq |
| author_facet | Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq |
| author_sort | Tan, Yeng May |
| collection | UPM |
| description | This paper explores the effects of two characteristics ubiquitously relevant to the emerging markets in Asia concerning on momentum profitability. By utilising the data of 776 stocks listed on Bursa Malaysia from the period of 2006 to 2014, the study examined how ownership concentration affected momentum profitability. The results of this study revealed that the higher the ownership concentration, the more profitable the momentum investment strategy. It is posited that concentrated ownership led to lower corporate transparency and higher information asymmetry. Hence, resulting to stronger momentum effect. The study also investigated the impacts of liquidity on the profitability of momentum trading strategy. Our results show that price momentum strategies worked better among higher liquidity (smaller spread) stocks. |
| first_indexed | 2024-03-06T10:02:52Z |
| format | Article |
| id | upm.eprints-69831 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T10:02:52Z |
| publishDate | 2018 |
| publisher | Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia |
| record_format | dspace |
| spelling | upm.eprints-698312019-07-08T07:26:11Z http://psasir.upm.edu.my/id/eprint/69831/ Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq This paper explores the effects of two characteristics ubiquitously relevant to the emerging markets in Asia concerning on momentum profitability. By utilising the data of 776 stocks listed on Bursa Malaysia from the period of 2006 to 2014, the study examined how ownership concentration affected momentum profitability. The results of this study revealed that the higher the ownership concentration, the more profitable the momentum investment strategy. It is posited that concentrated ownership led to lower corporate transparency and higher information asymmetry. Hence, resulting to stronger momentum effect. The study also investigated the impacts of liquidity on the profitability of momentum trading strategy. Our results show that price momentum strategies worked better among higher liquidity (smaller spread) stocks. Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2018 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/69831/1/Impacts%20of%20ownership%20concentration%20and%20liquidity%20on%20stock%20momentum%20profitability%20in%20Malaysia.pdf Tan, Yeng May and Cheng, Fan Fah and Hassan, Taufiq (2018) Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia. Asian Academy of Management Journal of Accounting and Finance, 14 (1). pp. 57-81. ISSN 1823-4992; ESSN: 2180-4192 http://web.usm.my/journal/aamjaf/vol14_1_2018.html 10.21315/aamjaf2018.14.1.3 |
| spellingShingle | Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia |
| title | Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia |
| title_full | Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia |
| title_fullStr | Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia |
| title_full_unstemmed | Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia |
| title_short | Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia |
| title_sort | impacts of ownership concentration and liquidity on stock momentum profitability in malaysia |
| url | http://psasir.upm.edu.my/id/eprint/69831/1/Impacts%20of%20ownership%20concentration%20and%20liquidity%20on%20stock%20momentum%20profitability%20in%20Malaysia.pdf |
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