4 results for Ali, Norli

  • Does bursa Malaysia overreact?

    Ali, Norli; Nassir, Annuar Md; Hassan, Taufiq; Abidin, Sazali Zainal (2009)

    Journal article
    University of Waikato

    Findings for the whole period from January 1987 to December 2006 reveal that loser has insignificantly becomes loser and winner has significantly reversed in the subsequent period. Arbitrage portfolio does not provide any significant abnormal return thus, not consistent with the overreaction hypothesis. This is due to the reason that Malaysian investors are overoptimistic. After controlling for size, both small and large stocks have significantly support the overreaction hypothesis even after adjustment for difference in risk. No evidence of January effect is reported during the period; however, there is evidence of Chinese New Year effect documented in the findings. The study also shows that Malaysian Stock Market overreacts prior to 1997 Asian Financial crisis. During the post crisis, the results are not consistent with overreaction hypothesis. One possible reason to this behaviour is that investors are more aware of the phenomenon and have altered their trading strategy. As a result, overreaction behaviour diminishes and stock market gradually becomes efficient in the post crisis. These findings suggest that stock overreaction behaviour in Malaysian stock market only benefited the short-term investors. However, when the strategy is based on a longer formation period such as 5-year formation period, long-term investors are able to earn significant positive abnormal returns.

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  • Does Syariah-Compliant stocks overreact?

    Ali, Norli; Nassir, Annuar Md; Abidin, Sazali Zainal; Talib, Norli Abd (2011)

    Journal article
    University of Waikato

    This is a preliminary study on stock overreaction behavior of syariah compliant stock in Bursa Malaysia over the period between January 1988 and December 2009. Results show that syariah compliant stock in Bursa Malaysia, like their conventional counterparts overreact. The overreactions are more pronounced during the sub-period prior to 1997 Asian Financial Crisis and Global 2008 Crisis. After the crisis the overreaction behavior seems to diminish.

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  • Stock overreaction and financial bubbles: Evidence from Malaysia

    Ali, Norli; Nassir, Annuar Md; Hassan, Taufiq; Abidin, Sazali Zainal (2009-09)

    Journal article
    University of Waikato

    This paper attempts to seek linkage between stock overreaction behaviour and financial bubbles in the Malaysian stock market. Monthly data over a period between January 1987 and December 2006 shows no clear evidence of stock overreaction behavior in the market. However, when the study split the analysis into two sub-periods, evidence of stock overreaction behaviour becomes significant in the pre-crisis sub-period, but there is no significant evidence of financial bubbles in the same sub-period. During the post crisis, evidence of stock overreaction seems to diminish, and evidence of financial bubbles however, is observed in the period. This study believes that evidence of bubbles observed in the Malaysian stock market in the post crisis period is due to stock overreaction that took place in the market prior to the crisis.

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  • Stock Overreaction Behaviour in Bursa Malaysia: Does the Length of the Formation Period Matter?

    Ali, Norli; Nassir, Annuar Md; Hassan, Taufiq; Abidin, Sazali Zainal (2011)

    Journal article
    University of Waikato

    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.

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