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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...

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Main Authors: Ali, Norli, Md Nassir, Annuar, Hassan, Taufiq, Zainal Abidin, Sazali
Format: Article
Language:English
Published: British Academic Journals 2011
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
http://psasir.upm.edu.my/id/eprint/52126/
http://www.ajournal.co.uk/EFArticles2(2).htm
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spelling my.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
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
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.
format Article
author Ali, Norli
Md Nassir, Annuar
Hassan, Taufiq
Zainal Abidin, Sazali
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?
author_facet Ali, Norli
Md Nassir, Annuar
Hassan, Taufiq
Zainal Abidin, Sazali
author_sort Ali, Norli
title 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_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_sort stock overreaction behaviour in bursa malaysia: does the length of the formation period matter?
publisher British Academic Journals
publishDate 2011
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
http://psasir.upm.edu.my/id/eprint/52126/
http://www.ajournal.co.uk/EFArticles2(2).htm
_version_ 1643835156269629440
score 13.211869

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