Does Syariah-Compliant stocks overreact?

This is a preliminary study on stock overreaction behavior of syariah compliant stock in Bursa Malaysia over the period between January 1988 and December 2009. Results show that syariah compliant stock in Bursa Malaysia, like their conventional counterparts overreact. The overreactions are more pronounced during the sub-period prior to 1997 Asian Financial Crisis and Global 2008 Crisis. After the crisis the overreaction behavior seems to diminish

Impact of Changes in Macroeconomic Factors of Stock Price Performance: A Comparative Analysis of Pre Crisis And Crisis Periods

It is generally believed that changes in economy affect the stock market performance. It is also believed that changes in stock market in turn will influence the economy as stock market serves as a leading economic indicator. Many researchers such as Kwon and Bacon ( 1 997), Chen, Roll and Ross ( 1 986), ArlIT and Johnson ( 1 990) and many more have investigated this relationship. However, the findings have been somewhat inconclusive, and thus, there is a need for such study in Malaysia. The main objective of the study is to investigate whether the changes in Malaysian macroeconomic factors namely expected inflation, exchange rates, interest rates, industrial production, money supply and market return can explain its stock price variability both prior to the crisis and during the crisis periods. The study investigated which of these six macroeconomic factors significantly influence stock returns. The study also examined the nature of the relationship between the above macroeconomic variables and stock returns (negatively related, positively related, etc). To examine those relationships, monthly data were used. The analyses were divided into two sub-periods, which are January 1 987 to December 1 999 and January 1 987 to December 1 996. The study adopted the Arbitrage Pricing Theory and the Error Correction Model to observe the relationship between stock returns and macroeconomic variables (expected inflation, exchange rates, interest rates, industrial production, money supply and market return). The findings for sub-period January 1 987 to December 1 999 appear to suggest that Composite Index (a proxy for market return), money supply, interest rates and exchange rates were dominant factors in determining portfolio returns. Whereas market performance appeared to be the only common factor that significantly influenced the sectoral indices movement. Similar approaches were also employed for pre-crisis period, January 1 987 to December 1 996. The findings confirmed that interest rates, money supply and market return have significant effect on changes in portfolio returns. While market returns were found to be the only common factor that significantly influenced the sectoral indices. However, no significant relationship was observed between changes in exchange rates and stock returns. Other variables namely industrial production and expected inflation asserted weak influence on asset pricing during both sub-periods. Market performance, money supply and exchange rates apparently had a positive relationship with portfolio returns and sectoral indices return. In contrast, interest rates and portfolio returns as well as sectoral indices return were found to be negatively related. In conclusion, the study found that Malaysian stock market is highly influenced by the changes in Kuala Lumpur Composite Index (a proxy for market returns), money supply, interest rates and exchange rates

Stock overreaction and financial bubbles: Evidence from Malaysia

This paper attempts to seek linkage between stock overreaction behaviour and financial bubbles in the Malaysian stock market. Monthly data over a period between January 1987 and December 2006 shows no clear evidence of stock overreaction behavior in the market. However, when the study split the analysis into two sub-periods, evidence of stock overreaction behaviour becomes significant in the pre-crisis sub-period, but there is no significant evidence of financial bubbles in the same sub-period. During the post crisis, evidence of stock overreaction seems to diminish, and evidence of financial bubbles however, is observed in the period. This study believes that evidence of bubbles observed in the Malaysian stock market in the post crisis period is due to stock overreaction that took place in the market prior to the crisis

Overreaction of syariah stocks: does size matter?

The purpose of the study is to investigate stock overreaction behavior among syariah stocks in Bursa Malaysia using basic framework of De Bondt and Thaler (1985). Like its conventional counterpart, evidence of stock overreaction behavior is also observed in syariah compliant stocks in Malaysia. The study documents that both winner and loser portfolios experience reversal behavior even after adjustment for size, thus implies that size does not matter. Furthermore, after adjustment for size, loser portfolios outperform winner portfolios in the test period. This indicates that syariah compliant stocks in Malaysia also provide opportunity of earning abnormal profit by resorting to contrarian strategy

Stock Overreaction Behaviour in Bursa Malaysia: Does the Length of the Formation Period Matter?

This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensitive to the length of the formation period. Using the basic framework of De Bondt and Thaler (1985), this study find that stock overreaction behaviour in this market is sensitive to the length of the formation period. Significant evidence of stock overreaction effect is documented in the longer formation period of up to 5-year, while for the medium formation period of 2-year, there is no clear evidence of stock overreaction behaviour. Evidence of stock overreaction behaviour is also reported for the shorter-term of 1-year, however, it may not be economically profitable after taken into account the transaction cost. This study also shows that size cannot explain the documented overreaction effect. However, the results suggest that the overreaction effect subsided after adjustment to time-varying risk

Pervasive liquidity risk

While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of hedging strategies requiring frequent portfolio rebalancing. Also, liquidity risk is likely to play a role whenever the market declines and investors are prevented from hedging via short positions. Using monthly return data from 1963–2000, and a broad set of test assets, we examine six candidate factor representations of aggregate liquidity risk, and test whether any one of these are priced. The results are interesting. First, with the surprising exception of the recent measure proposed by Pastor and Stambaugh (2001), liquidity factor shocks induce co-movements in individual stocks’ liquidity measure (commonality in liquidity). The commonality is similar to that found in the extant literature (Chordia, Roll, and Subrahmanyam (2000)), which so far has been restricted to a single year of data. Second, again with the exception of the Pastor-Stambaugh measure, the liquidity factors receive statistically significant betas when added to the Fama-French model. Third, maximum-likelihood estimates of the risk premium are significant for the measure based on bid-ask spreads, contemporaneous turnover, as well as the Pastor-Stambaugh measure, which exploits price reversals following volume shocks. Overall, the simple-to-compute, "low-minus-high" turnover factor first proposed by Eckbo and Norli (2000) appears to do as least as well as the other factor measures

pengaruh penambahan reflektor terhadap temperatur api yang dihasilkan pada kompor minyak tanah bertekanan dengan variasi bentuk reflektor kotak, bulat dan segitiga

Pada saat ini kompor minyak tanah bertekanan masih banyak digunakan oleh para pedagang kecil khususnya pedagang makanan. Akan tetapi minyak tanah sebagai bahan bakar utama kompor kian hari harganya kian mahal, sehingga memberatkan para pedagang kecil. Oleh karena itu diharapkan dengan adanya penambahan reflektor pada kompor minyak tanah bertekanan temperatur api yang dihasilkan bisa meningkat, sehingga penggunaan bahan bakar bisa dihemat karena waktu pembakarannya lebih cepat. Tahap-tahap penelitian yang pertama yaitu merangkai kompor minyak tanah bertekanan yang ada di pasaran, alat utama terdiri dari tangki, pipa kuningan dan burner, setelah itu dilakukan pengujian pada kompor minyak tanah bertekanan yang ada di pasaran (tanpa reflektor), dari pengujian ini akan didapatkan data berupa temperatur api yang dihasilkan, kemudian dilakukan pengujian pada kompor minyak tanah bertekanan dengan penambahan reflektor (bulat, kotak dan segitiga), dari pengujian ini juga akan didapatkan data berupa besarnya temperatur api yang dihasilkan. Kedua pengujian diatas dilakukan dengan volume minyak tanah tetap (1liter) dan dengan 3 variasi tekanan (0,1 MPa, 0,2 MPa dan 0,3 MPa). Dari hasil penelitian untuk kompor tanpa reflektor kondisi terbaik pada tekanan udara 0,1 MPa, menggunakan reflektor bulat pada tekanan udara 0,2 MPa, menggunakan reflektor kotak pada tekanan udara 0,1 MPa dan dengan menggunakan reflektor segitiga pada tekanan udara 0,3 MPa. Penambahan reflektor pada kompor minyak tanah bertekanan membuat temperatur api yang dihasilkan meningkat. Dari hasil perbandingan masingmasing kompor dengan kondisi terbaiknya didapatkan kompor yang terbaik dan paling optimal yaitu kompor dengan menggunakan reflektor bulat pada tekanan udara 0,2 MPa

Tiltaksrettet overvåking av Årdalsfjorden i henhold til vannforskriften. Overvåking for Hydro Aluminium Årdal Karbon, Hydro Aluminium Årdal Metallverk og Norsun

Alle de fem sedimentstasjonene klassifiseres til «moderat økologisk tilstand» og «ikke god kjemisk tilstand». Bunnfauna gir god tilstand, men overskridelser av EQS-verdien for flere vannregionspesifikke stoffer (hovedsakelig PAH-forbindelser) trekker tilstandsklassen ned til «moderat». Det var avtagende konsentrasjoner av disse stoffene i sedimentet med økende avstand fra utslippet. Samtlige sedimentstasjoner klassifiseres til å være i «ikke god kjemisk tilstand» pga. overskridelse av EQS-verdiene for EUs prioriterte miljøgifter, deriblant en rekke PAH-forbindelser, samt nikkel på den innerste stasjonen AR4. Alle biotastasjonene får også «ikke god kjemisk tilstand». Konsentrasjonen av kadmium i o-skjell overskrider EQS på alle stasjonene, samt PAH-forbindelser på G2 og G4. På biotastasjonene er det ikke gjort noen undersøkelser av biologiske kvalitetselementer, og økologisk tilstand kan ikke klassifiseres. Det er imidlertid overskridelser av flere vannregionspesifikke stoffer på alle stasjonene, bl.a. sink i o-skjell. Det var også overskridelser for kobber og arsen på flere stasjoner. Det var store overskridelser av EQS-verdien for PAH16 på de tre innerste stasjonene. For PAH-forbindelsene er det en tydelig konsentrasjonsgradient, med lavere konsentrasjoner med økende avstand fra utslippspunktet. Bunnfauna viste «god tilstand» på alle stasjoner. Faunaen var moderat til middels artsrik, og med normale individmengder. Faunasammensetningen besto bl.a. av flere tallrike sensitive arter. På stasjon R10 og ÅB11 var det noe større innslag av tolerante og opportunistiske arter enn på de tre øvrige. Totalt sett virker ikke bunnfaunaen å være påvirket av utslippene av suspendert stoff.Hydro Aluminium Årdal Karbon, Hydro Aluminium Årdal Metallverk og Norsu