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

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dc.contributor.authorAli, Norli
dc.contributor.authorNassir, Annuar Md
dc.contributor.authorHassan, Taufiq
dc.contributor.authorAbidin, Sazali Zainal
dc.date.accessioned2013-04-23T04:08:41Z
dc.date.available2013-04-23T04:08:41Z
dc.date.issued2011
dc.description.abstractThis 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.en_NZ
dc.format.mimetypeapplication/pdf
dc.identifier.citationAli, N., Nassir, A.M., Hassan,T., & Abidin, S.Z. (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), 42-56.en_NZ
dc.identifier.issn2048-125X
dc.identifier.urihttps://hdl.handle.net/10289/7513
dc.language.isoen
dc.publisherBritish Academic Journalsen_NZ
dc.relation.isPartOfBritish Journal of Economics, Finance and Management Sciencesen_NZ
dc.relation.urihttp://www.ajournal.co.uk/EFArticles2(2).htmen_NZ
dc.rightsThis article is published in British Journal of Economics Finance and Management Sciences. © 2011 British Academic Journals.en_NZ
dc.titleStock Overreaction Behaviour in Bursa Malaysia: Does the Length of the Formation Period Matter?en_NZ
dc.typeJournal Articleen_NZ
pubs.begin-page42en_NZ
pubs.elements-id37805
pubs.end-page56en_NZ
pubs.issue2en_NZ
pubs.volume2en_NZ
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