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The Size Effect in Malaysia’s Stock Returns

The size effect has been the most significant anomaly in stock price. Unlike developed stock markets, Malaysia’s market is smaller, less liquid, more volatile, prone to higher risk premiums and has higher cost of funds. These features could be attributed to informational inefficiency, high trading c...

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Main Authors: Syajarul Imna, Mohd Amin, Aisyah, Abdul-Rahman, Bakri, Abdul Karim
Format: Book Chapter
Language:English
Published: SpringerLink 2024
Subjects:
HG Finance
Online Access:http://ir.unimas.my/id/eprint/44262/1/Bakri_SizeEffect.pdf
http://ir.unimas.my/id/eprint/44262/
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spelling my.unimas.ir-442622024-12-27T09:07:55Z http://ir.unimas.my/id/eprint/44262/ The Size Effect in Malaysia’s Stock Returns Syajarul Imna, Mohd Amin Aisyah, Abdul-Rahman Bakri, Abdul Karim HG Finance The size effect has been the most significant anomaly in stock price. Unlike developed stock markets, Malaysia’s market is smaller, less liquid, more volatile, prone to higher risk premiums and has higher cost of funds. These features could be attributed to informational inefficiency, high trading costs, and less competition. Nonetheless, investors have become interested in the Malaysian stock market for international diversification and potentially high returns. Thus, this research aims to examine the size effect in Malaysia’s cross-section of stock returns, involving 828 stocks listed in the FTSE Bursa Malaysia KLCI Index from January 2011 to December 2020. Fama–MacBeth-profitability regressions suggest that small firms and dividend payers perform better than large firms and non-dividend payers. Moreover, the small significant positive coefficient of lagged profitability suggests that Malaysian stock’s returns are not highly persistent. The findings would benefit investors, fund managers, and top management for portfolio diversification and risk management in Malaysia’s stock. SpringerLink 2024-01-31 Book Chapter PeerReviewed text en http://ir.unimas.my/id/eprint/44262/1/Bakri_SizeEffect.pdf Syajarul Imna, Mohd Amin and Aisyah, Abdul-Rahman and Bakri, Abdul Karim (2024) The Size Effect in Malaysia’s Stock Returns. In: Contemporary Issues in Finance, Investment and Banking in Malaysia. SpringerLink, pp. 55-63. ISBN ISBN 978-981-99-5446-9
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HG Finance
spellingShingle HG Finance
Syajarul Imna, Mohd Amin
Aisyah, Abdul-Rahman
Bakri, Abdul Karim
The Size Effect in Malaysia’s Stock Returns
description The size effect has been the most significant anomaly in stock price. Unlike developed stock markets, Malaysia’s market is smaller, less liquid, more volatile, prone to higher risk premiums and has higher cost of funds. These features could be attributed to informational inefficiency, high trading costs, and less competition. Nonetheless, investors have become interested in the Malaysian stock market for international diversification and potentially high returns. Thus, this research aims to examine the size effect in Malaysia’s cross-section of stock returns, involving 828 stocks listed in the FTSE Bursa Malaysia KLCI Index from January 2011 to December 2020. Fama–MacBeth-profitability regressions suggest that small firms and dividend payers perform better than large firms and non-dividend payers. Moreover, the small significant positive coefficient of lagged profitability suggests that Malaysian stock’s returns are not highly persistent. The findings would benefit investors, fund managers, and top management for portfolio diversification and risk management in Malaysia’s stock.
format Book Chapter
author Syajarul Imna, Mohd Amin
Aisyah, Abdul-Rahman
Bakri, Abdul Karim
author_facet Syajarul Imna, Mohd Amin
Aisyah, Abdul-Rahman
Bakri, Abdul Karim
author_sort Syajarul Imna, Mohd Amin
title The Size Effect in Malaysia’s Stock Returns
title_short The Size Effect in Malaysia’s Stock Returns
title_full The Size Effect in Malaysia’s Stock Returns
title_fullStr The Size Effect in Malaysia’s Stock Returns
title_full_unstemmed The Size Effect in Malaysia’s Stock Returns
title_sort size effect in malaysia’s stock returns
publisher SpringerLink
publishDate 2024
url http://ir.unimas.my/id/eprint/44262/1/Bakri_SizeEffect.pdf
http://ir.unimas.my/id/eprint/44262/
_version_ 1819914970457964544
score 13.223943

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