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Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia

Yıl 2017, Cilt: 7 Sayı: 4, 478 - 487, 01.12.2017

Öz

Market illiquidity and investor sentiment show a significant role in Malaysian capital market, the variation of average stock returns left unexplained by capital asset pricing model is covered effectively by illiquidity and sentiment risks. Our investor sentiment measure consists of six market proxies. This study tests pricing implications using Size, Liquidity and BM ranked portfolios. It finds that small and illiquid stocks are exposed more to sentiment risk. Illiquidity and sentiment factors jointly explain the variations explained by size and value effects. Furthermore, quantile regressions reveal an asymmetric influence of investor sentiment, a large (small) effect is observed on stocks with high (low) returns. A three factor model directed at capturing illiquidity and investor sentiment risks is apparently persuasive in this market.

Yıl 2017, Cilt: 7 Sayı: 4, 478 - 487, 01.12.2017

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA85BY75DY
Bölüm Araştırma Makalesi
Yazarlar

Chandana Gunathilaka Bu kişi benim

Mohamad Jais Bu kişi benim

Sophee Sulong Balia Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 7 Sayı: 4

Kaynak Göster

APA Gunathilaka, C., Jais, M., & Balia, S. S. (2017). Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia. International Journal of Economics and Financial Issues, 7(4), 478-487.
AMA Gunathilaka C, Jais M, Balia SS. Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia. IJEFI. Aralık 2017;7(4):478-487.
Chicago Gunathilaka, Chandana, Mohamad Jais, ve Sophee Sulong Balia. “Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia”. International Journal of Economics and Financial Issues 7, sy. 4 (Aralık 2017): 478-87.
EndNote Gunathilaka C, Jais M, Balia SS (01 Aralık 2017) Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia. International Journal of Economics and Financial Issues 7 4 478–487.
IEEE C. Gunathilaka, M. Jais, ve S. S. Balia, “Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia”, IJEFI, c. 7, sy. 4, ss. 478–487, 2017.
ISNAD Gunathilaka, Chandana vd. “Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia”. International Journal of Economics and Financial Issues 7/4 (Aralık 2017), 478-487.
JAMA Gunathilaka C, Jais M, Balia SS. Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia. IJEFI. 2017;7:478–487.
MLA Gunathilaka, Chandana vd. “Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia”. International Journal of Economics and Financial Issues, c. 7, sy. 4, 2017, ss. 478-87.
Vancouver Gunathilaka C, Jais M, Balia SS. Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia. IJEFI. 2017;7(4):478-87.