Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016

Short selling has been allowed in Bursa Malaysia since its reintroduction in 2007. In this study, the objectives are to examine the market reactions towards the announcement of inclusion and exclusion of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from 2013 to 2016. A total...

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主要作者:	Khairun Ridhuan, Abd Ghani
格式:	Thesis
语言:	eng eng
出版:	2018
主题:	HG Finance
在线阅读:	https://etd.uum.edu.my/7558/1/s816380_01.pdf https://etd.uum.edu.my/7558/2/s816380_02.pdf
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id	my-uum-etd.7558
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Ghazali, Zahiruddin
topic	HG Finance
spellingShingle	HG Finance Khairun Ridhuan, Abd Ghani Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016
description	Short selling has been allowed in Bursa Malaysia since its reintroduction in 2007. In this study, the objectives are to examine the market reactions towards the announcement of inclusion and exclusion of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from 2013 to 2016. A total number of 216 stocks were selected for study on inclusion announcement, while 107 stocks collected for exclusion announcement. Analyses on average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) were used to examine the market reaction while t-statistic was applied to test the significant of the results. This study finds that; (1) statistically significant results found for both studies on inclusion and exclusion: (2) stock prices move in uptrend prior to the announcement for both inclusion and exclusion, hence, did not support early predictions; (3) after the announcement, stock prices back to uptrend for inclusion event and continue to downtrend for exclusion. Results also show the evidences of information asymmetry or informed trader occurred prior to the announcement for both inclusion and exclusion announcements. In addition, analysis on whether firms specific variables have influences on stock return finds no relationship.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Khairun Ridhuan, Abd Ghani
author_facet	Khairun Ridhuan, Abd Ghani
author_sort	Khairun Ridhuan, Abd Ghani
title	Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016
title_short	Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016
title_full	Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016
title_fullStr	Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016
title_full_unstemmed	Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016
title_sort	market reactions towards inclusion and exclusion announcements of regulated short selling (rss) stock in bursa malaysia: evidence from malaysia 2013-2016
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2018
url	https://etd.uum.edu.my/7558/1/s816380_01.pdf https://etd.uum.edu.my/7558/2/s816380_02.pdf
_version_	1747828234262675456
spelling	my-uum-etd.75582021-08-09T08:24:04Z Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016 2018 Khairun Ridhuan, Abd Ghani Ghazali, Zahiruddin School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance Short selling has been allowed in Bursa Malaysia since its reintroduction in 2007. In this study, the objectives are to examine the market reactions towards the announcement of inclusion and exclusion of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from 2013 to 2016. A total number of 216 stocks were selected for study on inclusion announcement, while 107 stocks collected for exclusion announcement. Analyses on average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) were used to examine the market reaction while t-statistic was applied to test the significant of the results. This study finds that; (1) statistically significant results found for both studies on inclusion and exclusion: (2) stock prices move in uptrend prior to the announcement for both inclusion and exclusion, hence, did not support early predictions; (3) after the announcement, stock prices back to uptrend for inclusion event and continue to downtrend for exclusion. Results also show the evidences of information asymmetry or informed trader occurred prior to the announcement for both inclusion and exclusion announcements. In addition, analysis on whether firms specific variables have influences on stock return finds no relationship. 2018 Thesis https://etd.uum.edu.my/7558/ https://etd.uum.edu.my/7558/1/s816380_01.pdf text eng public https://etd.uum.edu.my/7558/2/s816380_02.pdf text eng public http://sierra.uum.edu.my/record=b1698687~S1 masters masters Universiti Utara Malaysia Akbas, F., Boehmer, E., Erturk, B., Sorescu, S. (2010). 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Market reactions towards inclusion and exclusion announcements of regulated short selling (RSS) stock in Bursa Malaysia: Evidence from Malaysia 2013-2016

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