The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia

The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia

The aim of this paper is to review the impact of liquidity and free float on stock returns of Malaysian listed companies in Bursa Malaysia. In this study, liquidity is proxied by stock turnover rate, which is the ratio of turnover by volume of specific stock over total turnover by volume of the samp...

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Main Author: Lau, Anthony Tiong Tiing
Format: Thesis
Language:English
Published: 2013
Subjects:
HB Economic Theory
Online Access:http://ir.unimas.my/id/eprint/9086/2/Anthony%20Lau.pdf
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spelling my-unimas-ir.90862023-03-01T04:12:53Z The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia 2013 Lau, Anthony Tiong Tiing HB Economic Theory The aim of this paper is to review the impact of liquidity and free float on stock returns of Malaysian listed companies in Bursa Malaysia. In this study, liquidity is proxied by stock turnover rate, which is the ratio of turnover by volume of specific stock over total turnover by volume of the samples and free float is calculated as the ratio of free float market value over market values of specific stock. Our study makes use of cross-sectional regression framework using annual1y sample data over the period April 2003 to April 2013. We encounter that liquidity is positive related to stock return, which is opposed the prior finding in the researches that are executed by Datar, Naik and Radcliffe (1998), Chan and Faff (2005) and Chang, Faff and Hwang (2010), but in line with Ramlee and Ali (2012) finding that liquidity is significant positive related to stock return in Malaysia. The free float is found negative related to stQck return. Universiti Malaysia Sarawak, (UNIMAS) 2013 Thesis http://ir.unimas.my/id/eprint/9086/ http://ir.unimas.my/id/eprint/9086/2/Anthony%20Lau.pdf text en validuser masters Universiti Malaysia Sarawak Faculty of Economics and Business
institution Universiti Malaysia Sarawak
collection UNIMAS Institutional Repository
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Lau, Anthony Tiong Tiing
The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia
description The aim of this paper is to review the impact of liquidity and free float on stock returns of Malaysian listed companies in Bursa Malaysia. In this study, liquidity is proxied by stock turnover rate, which is the ratio of turnover by volume of specific stock over total turnover by volume of the samples and free float is calculated as the ratio of free float market value over market values of specific stock. Our study makes use of cross-sectional regression framework using annual1y sample data over the period April 2003 to April 2013. We encounter that liquidity is positive related to stock return, which is opposed the prior finding in the researches that are executed by Datar, Naik and Radcliffe (1998), Chan and Faff (2005) and Chang, Faff and Hwang (2010), but in line with Ramlee and Ali (2012) finding that liquidity is significant positive related to stock return in Malaysia. The free float is found negative related to stQck return.
format Thesis
qualification_level Master's degree
author Lau, Anthony Tiong Tiing
author_facet Lau, Anthony Tiong Tiing
author_sort Lau, Anthony Tiong Tiing
title The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia
title_short The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia
title_full The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia
title_fullStr The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia
title_full_unstemmed The impact of Liquidity and free float on stock returns: evidence from Bursa Malaysia
title_sort impact of liquidity and free float on stock returns: evidence from bursa malaysia
granting_institution Universiti Malaysia Sarawak
granting_department Faculty of Economics and Business
publishDate 2013
url http://ir.unimas.my/id/eprint/9086/2/Anthony%20Lau.pdf
_version_ 1783728027830583296

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