Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights

Tuyon, Jasman; Ahmad, Zamri

doi:10.1002/ijfe.2094

Cited by 5 publications

(3 citation statements)

References 113 publications

(105 reference statements)

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“…On the other hand, studies on the emerging market are becoming increasingly popular as investors seek diversification opportunities. Various theoretical explanations for stock market linkages have emerged from the growth economies of knowledge on the subject, including the law of one price and theories of stock market movement and stock market interdependence derived from Modern portfolio theory, which all serve to justify stock market linkages [16,17]. Theories underline portfolio diversification in global markets [18][19][20].…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Risk and causality Co-movement of Malaysia’s stock market with its emerging and OECD trading partners. Evidence from the wavelet approach

Wang,

Guo,

Waris

et al. 2024

PLoS ONE

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The growing trend of interdependence between the international stock markets indicated the amalgamation of risk across borders that plays a significant role in portfolio diversification by selecting different assets from the financial markets and is also helpful for making extensive economic policy for the economies. By applying different methodologies, this study undertakes the volatility analysis of the emerging and OECD economies and analyzes the co-movement pattern between them. Moreover, with that motive, using the wavelet approach, we provide strong evidence of the short and long-run risk transfer over different time domains from Malaysia to its trading partners. Our findings show that during the Asian financial crisis (1997–98), Malaysia had short- and long-term relationships with China, Germany, Japan, Singapore, the UK, and Indonesia due to both high and low-frequency domains. Meanwhile, after the Global financial crisis (2008–09), it is being observed that Malaysia has long-term and short-term synchronization with emerging (China, India, Indonesia), OECD (Germany, France, USA, UK, Japan, Singapore) stock markets but Pakistan has the low level of co-movement with Malaysian stock market during the global financial crisis (2008–09). Moreover, it is being seen that Malaysia has short-term at both high and low-frequency co-movement with all the emerging and OECD economies except Japan, Singapore, and Indonesia during the COVID-19 period (2020–21). Japan, Singapore, and Indonesia have long-term synchronization relationships with the Malaysian stock market at high and low frequencies during COVID-19. While in a leading-lagging relationship, Malaysia’s stock market risk has both leading and lagging behavior with its trading partners’ stock market risk in the selected period; this behavior changes based on the different trade and investment flow factors. Moreover, DCC-GARCH findings shows that Malaysian market has both short term and long-term synchronization with trading partners except USA. Conspicuously, the integration pattern seems that the cooperation development between stock markets matters rather than the regional proximity in driving the cointegration. The study findings have significant implications for investors, governments, and policymakers around the globe.

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Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Risk and causality Co-movement of Malaysia’s stock market with its emerging and OECD trading partners. Evidence from the wavelet approach

Wang,

Guo,

Waris

et al. 2024

PLoS ONE

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“…In the case of the evolving EdTech market globally, the investor's behavior can be captured using the prospect theory in behavioral finance. Prospect theory conceptualizes the decision-making process of investors when they encounter circumstances that encompass risk, probability and uncertainty (Tuyon and Ahmad, 2021). Investors' decisions to invest their capital are based on their perceptions of the gains and losses involved.…”

Section: The Expected Utility Theorymentioning

confidence: 99%

A nexus of market web traffic and investor's behavior in the EdTech market: evidence of performance from US and India

Sethi

Saxena

Singh

2022

BIJ

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PurposeThe unexpected outbreak of COVID-19 has expedited the trend toward online education. To facilitate undisruptive learning, EdTech companies are continuously working on providing solutions to restore teaching and learning practices. This has caused a significant behavioral shift of the investors in the EdTech market. This study aims to analyze the effects of Web Market Traffic on the increased number of investors funding an EdTech Company in the market.Design/methodology/approachBy drawing on the multi-method web analytics approach, this study analyses the nexus between Web Market Traffic and Investor's Behavior in the US and India, proving the hypothesized relationship in the proposed Model using a data sample of 300 EdTech Players.FindingsThere is a significant difference between the investor's behavior in India and the US. This study shows that the investors in the US are more inclined towards investing in EdTech companies in comparison to India. The Results demonstrate that monthly visits of consumers and the number of acquisitions by players positively affect the investor's behavior, while bounce rates take a toll on the number of investors.Practical implicationsThis Study suggests that EdTech investors in the US and India should harness Web Traffic to capture the EdTech market. Further, this study offers practical implications that EdTech players can use to attract potential investors and increase brand visibility by improving web market traffic parameters.Originality/valueThis paper's original contribution is to empirically shed light on the effects of web market traffic on the investor's behavior. The study emphasizes the quintessentiality of managing the bounce rates and monthly visits for an EdTech market to attract more investors and capital inflow that enhance brand visibility. The study found that the investors behave distinctly in the developed and emerging markets in the US and India.

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“…Several empirical studies have shown that investors emotions influenced Malaysian stock returns [2][3][4][5]. The relationship between the returns of Malaysian stocks and investor feelings driven by fear of dangerous infectious diseases has been investigated and provided evidence that the SARS significantly affect the Malaysian stock market behaviour [6].…”

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confidence: 99%

The Impact of the COVID-19 Pandemic on the Interconnectedness of Stocks in Bursa Malaysia

Bahaludin,

Mahamood,

Abdullah

et al. 2022

MATEMATIKA

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Coronavirus (COVID-19) pandemic has a massive impact on economic growth and the stock market. Due to COVID-19’s high transmission rate, a movement control order (MCO) was enforced by the Malaysian government in four stages. Consequently, this situation has affected the stability and the relationship of stocks listed on Bursa Malaysia. Thus, this study is motivated to investigate and visualize a correlation of securities listed on FTSE Bursa Malaysia KLCI by employing a network analysis approach. The limitation of correlation analysis is that it only provides the strength and direction of the association, which is not visually shown in the graph. As a result, the network analysis technique is used to highlight the correlations between the stocks. The input of the network is based on the rate of return of each stock. The data is divided into two parts. The first duration is the period before implementation of MCO which is from 17th December 2019 to 17th March 2020. The second duration is during four stages of MCO which cover from 18th March 2020 to 3rd May 2020. There are changes in the interconnection between stocks in which seventeen stocks increased in the correlation measure during MCO. The importance of stocks is determined by applying centrality measures to disclose a topological structure of a network. This study finds that the stock with the highest connectivity based on the degree centrality before the MCO was unable to maintain the status as the central hub during the MCO. The results can assist the market participant to strategize the asset allocation to obtain well diversified portfolio selection.

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Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights

Cited by 5 publications

References 113 publications

Risk and causality Co-movement of Malaysia’s stock market with its emerging and OECD trading partners. Evidence from the wavelet approach

Risk and causality Co-movement of Malaysia’s stock market with its emerging and OECD trading partners. Evidence from the wavelet approach

A nexus of market web traffic and investor's behavior in the EdTech market: evidence of performance from US and India

The Impact of the COVID-19 Pandemic on the Interconnectedness of Stocks in Bursa Malaysia

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