The effects of regulated short selling on stock returns of affected companies
Short selling is an investment technique that allows an investor to sell stocks which he does not own currently and buy later at possibly a lower price in Malaysia, short selling trading was prohibited effectively from 5th September 1997 for the purpose of stopping speculation on stock during 1997 A...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | أطروحة |
| اللغة: | eng eng |
| منشور في: |
2017
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://etd.uum.edu.my/7381/1/s820219_01.pdf https://etd.uum.edu.my/7381/2/s820219_02.pdf |
| الوسوم: |
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my-uum-etd.7381 |
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| record_format |
uketd_dc |
| institution |
Universiti Utara Malaysia |
| collection |
UUM ETD |
| language |
eng eng |
| advisor |
Taufil Mohd, Kamarun Nisham |
| topic |
HG Finance |
| spellingShingle |
HG Finance Siti Munirah, Baharuddin The effects of regulated short selling on stock returns of affected companies |
| description |
Short selling is an investment technique that allows an investor to sell stocks which he does not own currently and buy later at possibly a lower price in Malaysia, short selling trading was prohibited effectively from 5th September 1997 for the purpose of stopping speculation on stock during 1997 Asian Financial Crisis. Short selling activities were commonly designed or structured by local regulators, financial intermediaries, and investors for purposes of managing risks, increasing liquidity and strengthening market infrastructure. There is a lack of study on short selling in Malaysia, hence, this study focuses on "Regulated Short Selling (RSS)" in Malaysia and concentrates on stock price fluctuation on announcements of either a stock is being added into or withdrawn from the RSS list by Bursa Malaysia (BM). 1n this case, we could investigate whether short selling is welcomed by investors. A total of 259 stocks to be added into RSS list and a total of 121 stocks to be withdrawn from RSS list were retrieved from 2013 to 2016. Average abnormal return (AAR) and cumulative average abnormal return (CAAR) were taken to test on hypothesis in this study. The findings show that prices of stocks go up following the announcements of adding the stocks to the RSS list, stock prices would change surrounding the effective dates after it is added into the RSS list, and stock exclusions influence prices negatively on effective dates. Based on this research, to earn abnormal profits, an investor could try to predict RSS additions or removals by BM. |
| format |
Thesis |
| qualification_name |
masters |
| qualification_level |
Master's degree |
| author |
Siti Munirah, Baharuddin |
| author_facet |
Siti Munirah, Baharuddin |
| author_sort |
Siti Munirah, Baharuddin |
| title |
The effects of regulated short selling on stock returns of affected companies |
| title_short |
The effects of regulated short selling on stock returns of affected companies |
| title_full |
The effects of regulated short selling on stock returns of affected companies |
| title_fullStr |
The effects of regulated short selling on stock returns of affected companies |
| title_full_unstemmed |
The effects of regulated short selling on stock returns of affected companies |
| title_sort |
effects of regulated short selling on stock returns of affected companies |
| granting_institution |
Universiti Utara Malaysia |
| granting_department |
School of Economics, Finance & Banking |
| publishDate |
2017 |
| url |
https://etd.uum.edu.my/7381/1/s820219_01.pdf https://etd.uum.edu.my/7381/2/s820219_02.pdf |
| _version_ |
1747828209691394048 |
| spelling |
my-uum-etd.73812021-08-18T07:32:28Z The effects of regulated short selling on stock returns of affected companies 2017 Siti Munirah, Baharuddin Taufil Mohd, Kamarun Nisham School of Economics, Finance & Banking School of Economics, Finance and Banking HG Finance Short selling is an investment technique that allows an investor to sell stocks which he does not own currently and buy later at possibly a lower price in Malaysia, short selling trading was prohibited effectively from 5th September 1997 for the purpose of stopping speculation on stock during 1997 Asian Financial Crisis. Short selling activities were commonly designed or structured by local regulators, financial intermediaries, and investors for purposes of managing risks, increasing liquidity and strengthening market infrastructure. There is a lack of study on short selling in Malaysia, hence, this study focuses on "Regulated Short Selling (RSS)" in Malaysia and concentrates on stock price fluctuation on announcements of either a stock is being added into or withdrawn from the RSS list by Bursa Malaysia (BM). 1n this case, we could investigate whether short selling is welcomed by investors. A total of 259 stocks to be added into RSS list and a total of 121 stocks to be withdrawn from RSS list were retrieved from 2013 to 2016. Average abnormal return (AAR) and cumulative average abnormal return (CAAR) were taken to test on hypothesis in this study. The findings show that prices of stocks go up following the announcements of adding the stocks to the RSS list, stock prices would change surrounding the effective dates after it is added into the RSS list, and stock exclusions influence prices negatively on effective dates. Based on this research, to earn abnormal profits, an investor could try to predict RSS additions or removals by BM. 2017 Thesis https://etd.uum.edu.my/7381/ https://etd.uum.edu.my/7381/1/s820219_01.pdf text eng public https://etd.uum.edu.my/7381/2/s820219_02.pdf text eng public masters masters Universiti Utara Malaysia Bai, Y., Chang, E. C., & Wang, J. (2006). Asset prices under short-sale constraints. University of Hong Kong, unpublished manuscript. Bursa to introduce regulated short-selling. (n.d.). Retrieved from http://www.bursamalaysia.com/market/securities/ equities/trading/regulatedshort-selling-rss/ Chang, Eric C., Joseph W. Cheng, and Yinghui Yu. "Short‐sales constraints and price discovery: Evidence from the Hong Kong market." The Journal of Finance 62.5 (2004): 2097-2121. Chen, S. S., Chen, Y. W., & Chou, R. K. (2015). Short-sale constraints and option trading: Evidence from reg sho. University of National Taiwan, unpublished manuscript. Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311. Figlewski, S. (1981). The informational effects of restrictions on short sales: Some empirical evidence. Journal of Financial and Quantitative Analysis, 16(04), 463-476. Gitman, L. J., Joehnk, M. D., & Smart, S. B. (2008). Fundamentals of Investing (11th Ed.). Boston: Greg Tobin. Henderson, Jr. and Glenn V. (1990). Market discounts and proceeds usage for seasoned equity offerings. Investment Management and Financial Innovations, 6(2) Jarrow, R. A. (1992). Market manipulation, bubbles, corners, and short squeezes. Journal of financial and Quantitative Analysis, 27(03), 311-336. Lin, T. C. (2012). Dynamic short-sale constraints, price limits, and price dynamics. International Journal of Managerial Finance, 8(3), 256-279. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39. Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. The Journal of finance, 32(4), 1151-1168. Online, T. S. (2006, October 13). Short-selling deferred to January - Business News. Retrieved June 12, 2017, from http://www.thestar.com.my/ business/businessnews/ 2006/10/14/shortselling-deferred-to-january/ Reed, A. (2007). Costly short-selling and stock price adjustment to earnings announcements. University of North Carolina, unpublished manuscript. Staley, K. F. (1997). The art of short selling (Vol. 4). John Wiley & Sons |