Foreign ownership and the informational efficiency of Malaysian stocks

Using the foreign ownership data for 602 firms listed on Bursa Malaysia over the sample period 2002-2009, this study examines the contribution of foreign investors to stock price efficiency. Defining informational efficiency in terms of the speed of adjustment to common information, the paper comput...

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Main Author:	Chang, Kwok Boon
Format:	Thesis
Language:	English English
Published:	2012
Subjects:	HG4551-4598 Stock exchanges
Online Access:	https://eprints.ums.edu.my/id/eprint/38505/2/24%20PAGES.pdf https://eprints.ums.edu.my/id/eprint/38505/1/FULLTEXT.pdf
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id	my-ums-ep.38505
record_format	uketd_dc
spelling	my-ums-ep.385052024-04-15T07:35:02Z Foreign ownership and the informational efficiency of Malaysian stocks 2012 Chang, Kwok Boon HG4551-4598 Stock exchanges Using the foreign ownership data for 602 firms listed on Bursa Malaysia over the sample period 2002-2009, this study examines the contribution of foreign investors to stock price efficiency. Defining informational efficiency in terms of the speed of adjustment to common information, the paper computes stock price delay measures with respect to local and global market-wide news. The novel finding from this thesis is the existence of a LI-shaped relationship between total foreign ownership and stock price delay, and hence implies the presence of optimality in foreign ownership. More specifically, informational efficiency improves until foreign ownership reaches approximately 25% to 28%, and then it begins to decline. Further analysis finds that the significant nonlinear effect in total foreign ownership is actually driven by foreign nominees. 2012 Thesis https://eprints.ums.edu.my/id/eprint/38505/ https://eprints.ums.edu.my/id/eprint/38505/2/24%20PAGES.pdf text en public https://eprints.ums.edu.my/id/eprint/38505/1/FULLTEXT.pdf text en validuser masters Universiti Malaysia Sabah Sekolah Perniagaan dan Kewangan Antarabangsa Labuan
institution	Universiti Malaysia Sabah
collection	UMS Institutional Repository
language	English English
topic	HG4551-4598 Stock exchanges
spellingShingle	HG4551-4598 Stock exchanges Chang, Kwok Boon Foreign ownership and the informational efficiency of Malaysian stocks
description	Using the foreign ownership data for 602 firms listed on Bursa Malaysia over the sample period 2002-2009, this study examines the contribution of foreign investors to stock price efficiency. Defining informational efficiency in terms of the speed of adjustment to common information, the paper computes stock price delay measures with respect to local and global market-wide news. The novel finding from this thesis is the existence of a LI-shaped relationship between total foreign ownership and stock price delay, and hence implies the presence of optimality in foreign ownership. More specifically, informational efficiency improves until foreign ownership reaches approximately 25% to 28%, and then it begins to decline. Further analysis finds that the significant nonlinear effect in total foreign ownership is actually driven by foreign nominees.
format	Thesis
qualification_level	Master's degree
author	Chang, Kwok Boon
author_facet	Chang, Kwok Boon
author_sort	Chang, Kwok Boon
title	Foreign ownership and the informational efficiency of Malaysian stocks
title_short	Foreign ownership and the informational efficiency of Malaysian stocks
title_full	Foreign ownership and the informational efficiency of Malaysian stocks
title_fullStr	Foreign ownership and the informational efficiency of Malaysian stocks
title_full_unstemmed	Foreign ownership and the informational efficiency of Malaysian stocks
title_sort	foreign ownership and the informational efficiency of malaysian stocks
granting_institution	Universiti Malaysia Sabah
granting_department	Sekolah Perniagaan dan Kewangan Antarabangsa Labuan
publishDate	2012
url	https://eprints.ums.edu.my/id/eprint/38505/2/24%20PAGES.pdf https://eprints.ums.edu.my/id/eprint/38505/1/FULLTEXT.pdf
_version_	1804890318845247488

Foreign ownership and the informational efficiency of Malaysian stocks

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