Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012

Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012

The objective of this study is to examine the market reaction towards the listing and delisting of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from the research period of 2010 to 2012. A total of 71 stocks have been chosen to list in RSS list in BM and a total of 76 stocks...

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Main Author: Lim, Chu Luan
Format: Thesis
Language:eng
eng
Published: 2013
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/5145/1/s810205.pdf
https://etd.uum.edu.my/5145/2/s810205_abstract.pdf
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id my-uum-etd.5145
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Ghazali, Zahiruddin
topic HG Finance
spellingShingle HG Finance
Lim, Chu Luan
Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012
description The objective of this study is to examine the market reaction towards the listing and delisting of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from the research period of 2010 to 2012. A total of 71 stocks have been chosen to list in RSS list in BM and a total of 76 stocks were being removed from RSS list in BM during the research period. Abnormal return (AR), Average Abnormal Return (AAR) and Cumulative Abnormal Return (CAR) were used to examine the market reaction with t-statistic was taken to test the significance of the results. The finding and analysis do not support our prediction of stock prices were stagnant prior to list in RSS list and stock prices would move in an upward trend after it is listed in RSS list in BM. Few journal in regards to the findings that do not support the prediction were studied and were found that opposite outcome from our prediction could be due to private information of stocks to be listed in RSS list prior to the official announcement could possibly leaks to investor that induce speculation on stock investment. Prediction on price movement on stocks to be delisted from RSS list before and after were supported where stock prices were stagnant prior to removal from RSS list and stock price move downward after it is being removed from RSS list
format Thesis
qualification_name masters
qualification_level Master's degree
author Lim, Chu Luan
author_facet Lim, Chu Luan
author_sort Lim, Chu Luan
title Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012
title_short Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012
title_full Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012
title_fullStr Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012
title_full_unstemmed Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012
title_sort market reaction to inclusion and exclusion of regulated short selling (rss) stock in regulated short selling list in bursa malaysia : evidence from malaysia 2010-2012
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2013
url https://etd.uum.edu.my/5145/1/s810205.pdf
https://etd.uum.edu.my/5145/2/s810205_abstract.pdf
_version_ 1747827870677336064
spelling my-uum-etd.51452022-10-06T06:52:59Z Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012 2013 Lim, Chu Luan Ghazali, Zahiruddin Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance The objective of this study is to examine the market reaction towards the listing and delisting of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from the research period of 2010 to 2012. A total of 71 stocks have been chosen to list in RSS list in BM and a total of 76 stocks were being removed from RSS list in BM during the research period. Abnormal return (AR), Average Abnormal Return (AAR) and Cumulative Abnormal Return (CAR) were used to examine the market reaction with t-statistic was taken to test the significance of the results. The finding and analysis do not support our prediction of stock prices were stagnant prior to list in RSS list and stock prices would move in an upward trend after it is listed in RSS list in BM. Few journal in regards to the findings that do not support the prediction were studied and were found that opposite outcome from our prediction could be due to private information of stocks to be listed in RSS list prior to the official announcement could possibly leaks to investor that induce speculation on stock investment. Prediction on price movement on stocks to be delisted from RSS list before and after were supported where stock prices were stagnant prior to removal from RSS list and stock price move downward after it is being removed from RSS list 2013 Thesis https://etd.uum.edu.my/5145/ https://etd.uum.edu.my/5145/1/s810205.pdf text eng public https://etd.uum.edu.my/5145/2/s810205_abstract.pdf text eng public masters masters Universiti Utara Malaysia American Psychological Association. (2001). Publication manual of the American psychological association (5th ed.). Washington, DC: Author. Asquith, P., Pathak, P. A., & Ritter, J. R. (2004). Short Interest And Stock Returns. Working Paper, National Bureau of Economic Research, Cambridge. Bai, Y., Chang, E. C., & Wang, J. (2003). Asset Prices Under Short-Sale Constraints. Working Paper. The University of Hong Kong, Hong Kong. Benjamin, B., & Tyler J. B. 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