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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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Main Authors: Tan, Yeng May, Cheng, Fan Fah, Hassan, Taufiq
Format: Article
Language:English
Published: Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2018
Online Access:http://psasir.upm.edu.my/id/eprint/69831/1/Impacts%20of%20ownership%20concentration%20and%20liquidity%20on%20stock%20momentum%20profitability%20in%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/69831/
http://web.usm.my/journal/aamjaf/vol14_1_2018.html
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spelling my.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
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 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.
format Article
author Tan, Yeng May
Cheng, Fan Fah
Hassan, Taufiq
spellingShingle Tan, Yeng May
Cheng, Fan Fah
Hassan, Taufiq
Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia
author_facet Tan, Yeng May
Cheng, Fan Fah
Hassan, Taufiq
author_sort Tan, Yeng May
title 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_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_sort impacts of ownership concentration and liquidity on stock momentum profitability in malaysia
publisher Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
publishDate 2018
url http://psasir.upm.edu.my/id/eprint/69831/1/Impacts%20of%20ownership%20concentration%20and%20liquidity%20on%20stock%20momentum%20profitability%20in%20Malaysia.pdf
http://psasir.upm.edu.my/id/eprint/69831/
http://web.usm.my/journal/aamjaf/vol14_1_2018.html
_version_ 1643839587789832192
score 13.211869

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