Ali, Ruhani; Ahmad, Zamri; Anusakumar, Shangkari V.
July 2011
Asian Academy of Management Journal of Accounting & Finance;2011, Vol. 7 Issue 2, p103
Academic Journal
We investigate the stock market overreaction in Bursa Malaysia from January 2000 to October 2010 using weekly data. We find that winner portfolios tend to have negative returns whereas loser portfolios have positive returns for various holding periods from 1 to 52 weeks. Loser stocks experience more persistent and stronger return reversals than winner stocks. The evidence implies that a lower level of overreaction exists for winner stocks. Overall, a loser-winner portfolio yields highly significant returns. Comparing the overreaction of low-, medium- and high-volume stocks, we find that low volume stocks experience more consistent and larger return reversals. Therefore, trading volume is inversely related to overreaction. We also document more persistent overreaction for loser than winner stocks for all volume categories. The results suggest that investor may be able to obtain significant profits by implementing a short term contrarian strategy focused on low volume stocks.


Related Articles

  • MANAGEMENT PERCEPTIONS OF SHARE REPURCHASES IN EMERGING MARKETS: THE CASE FOR MALAYSIA. Lee Siew-Peng; Mansor Isa // Asian Academy of Management Journal of Accounting & Finance;2015, Vol. 11 Issue 1, p97 

    The purpose of this paper is to study the perceptions of Malaysian chief finance officers (CFO) concerning their reasons for repurchasing shares. We sent a survey questionnaire to the chief finance officers of all the companies listed on the Malaysian Stock Exchange that made repurchase...

  • Earnings Announcements, Analyst Forecasts, and Trading Volume. MINSUP SONG // Seoul Journal of Business;Dec2013, Vol. 19 Issue 2, p1 

    Empirical evidence shows that a significant proportion of analysts issue their forecasts at the time of an earnings announcement (Ivković and Jegadeesh 2004). These forecasts are commonly regarded as analyst interpretations of earnings news contained in the announcement (Schipper 1991)....

  • An Empirical Analysis of the Effects of Online Trading on Stock Price and Trading Volume Reactions to Earnings Announcements. AHMED, ANWER S.; SCHNEIBLE JR., RICHARD A.; STEVENS, DOUGLAS E. // Contemporary Accounting Research;Fall2003, Vol. 20 Issue 3, p413 

    This study provides evidence regarding the effects of online trading on stock price and trading volume reactions to quarterly earnings announcements. We test for differences in stock price and volume reactions to quarterly earnings announcements between a period with a significant amount of...

  • Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index. Biktimirov, Ernest; Li, Boya // Review of Quantitative Finance & Accounting;Jan2014, Vol. 42 Issue 1, p95 

    We examine market reactions to changes in the FTSE SmallCap index membership, which are determined quarterly based on market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses between the firms that are shifted between FTSE indexes...

  • New record high for Bursa.  // Malay Mail;7/11/2012, p17 

    The article informs that Bursa Malaysia's share prices closed higher aligned with Financial Times and Stock Exchange (FTSE) Bursa Malaysia reaching an intra-day all-time high of 1,625.04.

  • Market Reaction to Corporate Press Releases. Neuhierl, Andreas; Scherbina, Anna; Schlusche, Bernd // Journal of Financial & Quantitative Analysis;2013, Vol. 48 Issue 4, p1207 

    We classify a unique and comprehensive dataset of corporate press releases into topics and study the market reaction to various types of news. While confirming prior findings regarding strong stock price responses to financial news, we also document significant reactions to news about corporate...

  • The Impact of Fraudulent False Information on Equity Values. Ullah, Saif; Massoud, Nadia; Scholnick, Barry // Journal of Business Ethics;Mar2014, Vol. 120 Issue 2, p219 

    There are two types of stock price manipulation examined in the theoretical literature: (1) insider trading, which involves private information that is true and (2) the public spreading of fraudulent false information. While there is a large empirical literature on insider trading, this is the...

  • BEHAVIOR OF STOCK PRICE VARIABILITY OVER TRADING AND NONTRADING PERIODS, AND DAILY RETURN VOLATILITY. Sumiyana // Gadjah Mada International Journal of Business;Sep-Dec2007, Vol. 9 Issue 3, p409 

    This study examined the behavior of stock price variability over trading and nontrading periods, and daily return volatility. This study used intraday data in Indonesia Stock Exchange. Sample was taken from the firms listed in LQ 45 indexes for the year of 1999-2006. The behavior of stock price...

  • TRADING VOLUME, PRICE MOMENTUM, AND THE 52-WEEK HIGH PRICE MOMENTUM STRATEGY IN THE SAUDI STOCK MARKET. Alsubaie, Abdullah; Najand, Mohammad // International Journal of Finance;2009, Vol. 21 Issue 1, p5070 

    This paper investigates the existence of a pure momentum strategy in the Saudi stock market (SSM), the largest market in the Middle East and one of the fastest growing markets in the world. Price momentum profitability in the SSM is very similar in magnitude and significance to these found in...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics