Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market Bursa Malaysia for the period of 2007-2015. This study employs event study methodology. More specifically, it employs the market mo...

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Main Author:	Chen, Siong Yain
Format:	Thesis
Language:	English
Published:	2015
Subjects:	HB Economic Theory
Online Access:	http://ir.unimas.my/id/eprint/10794/4/Chen%20Siong%20Yain%20ft.pdf
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id	my-unimas-ir.10794
record_format	uketd_dc
spelling	my-unimas-ir.107942024-05-23T07:22:32Z Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia 2015 Chen, Siong Yain HB Economic Theory This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market Bursa Malaysia for the period of 2007-2015. This study employs event study methodology. More specifically, it employs the market model in generating abnormal returns surrounding subsequent UMA announcements. t-test is applied to evaluate the abnormal return from the market model. The findings show that there are few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It is found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement. Universiti Malaysia Sarawak, (UNIMAS) 2015 Thesis http://ir.unimas.my/id/eprint/10794/ http://ir.unimas.my/id/eprint/10794/4/Chen%20Siong%20Yain%20ft.pdf text en validuser masters Universiti Malaysia Sarawak, (UNIMAS) Faculty of Economics and Business
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	HB Economic Theory
spellingShingle	HB Economic Theory Chen, Siong Yain Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia
description	This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market Bursa Malaysia for the period of 2007-2015. This study employs event study methodology. More specifically, it employs the market model in generating abnormal returns surrounding subsequent UMA announcements. t-test is applied to evaluate the abnormal return from the market model. The findings show that there are few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It is found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.
format	Thesis
qualification_level	Master's degree
author	Chen, Siong Yain
author_facet	Chen, Siong Yain
author_sort	Chen, Siong Yain
title	Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia
title_short	Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia
title_full	Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia
title_fullStr	Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia
title_full_unstemmed	Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia
title_sort	stock return reaction to unusual market activity announcement : evidence from the ace market in malaysia
granting_institution	Universiti Malaysia Sarawak, (UNIMAS)
granting_department	Faculty of Economics and Business
publishDate	2015
url	http://ir.unimas.my/id/eprint/10794/4/Chen%20Siong%20Yain%20ft.pdf
_version_	1804888383502155776

Stock return reaction to unusual market activity announcement : evidence from the ace market in Malaysia

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