publication . Article . 2011

Stock Market Overreaction and Trading Volume: Evidence from Malaysia

Ruhani Ali; Zamri Ahmad; Shangkari V. Anusakumar;
Open Access
  • Published: 01 Jan 2011 Journal: Asian Academy of Management Journal of Accounting and Finance, volume 7, issue 2, pages 103-119
Abstract
We investigate the stock market overreaction in Bursa Malaysia from January 2000 to October 2010 using weekly data. We find that winner portfolios tend to have negative returns whereas loser portfolios have positive returns for various holding periods from 1 to 52 weeks. Loser stocks experience more persistent and stronger return reversals than winner stocks. The evidence implies that a lower level of overreaction exists for winner stocks. Overall, a loser-winner portfolio yields highly significant returns. Comparing the overreaction of low-, medium- and high-volume stocks, we find that low volume stocks experience more consistent and larger return reversals. Th...
Subjects
free text keywords: overreaction, trading volume, return reversal, contrarian, return predictability
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