The Roles of Investor Sentiment in Malaysian Stock Market

Tuyon, Jasman; Ahmad, Zamri; Matahir, Hylmee

doi:10.21315/aamjaf2016.12.s1.3

Cited by 16 publications

(27 citation statements)

References 48 publications

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“…This research extends the works of Tuyon and Ahmad (2014) that provides discussion on the theoretical relations between sentiment and stock market activity and Tuyon et al (2015) that proposed CSI, BSI and FKLI as possible sentiment proxies. The objectives of this paper are to theoretically and empirically examine the heterogeneity roles of these sentiment proxies on aggregate stock market indice returns in the Malaysian setting.…”

Section: "The Market Is Subject To Waves Of Optimistic and Pessimisupporting

confidence: 73%

“…Thirdly, exploration of the possible influence of behavioral risks on asset prices and stock market behavior is warranted as existing studies indicated that the Malaysian stock market is also noted to be less sensitive to changes in fundamental factors and more prone to speculative trading effect (Ariff, Mohamad and Nassir, 1998), and the stock market sometimes portrays an evidence of irrationality and inefficiency (Nassir, 2002). So far, there are no endorsed proxies for investor sentiment in Malaysia, but consumer sentiment index (CSI), business condition servay (BCS) and stock futures index (FKLI) are seen as highly possible proxies for investor sentiment (see Mat Nor, Ibrahim and Rashid, 2013;Tuyon, Ahmad, Matahir;. Selections of these variables are theoretically and empirically derived as non-economic factors that possibly influence investors' thought and indirectly influence stock prices.…”

Section: "The Market Is Subject To Waves Of Optimistic and Pessimimentioning

confidence: 99%

“…The role of irrational sentiments in inducing investor expectations through this model is discussed in Tuyon et al (2015). In this paper, first, we use the theory of association to establish the association relationships of sentiment to returns.…”

Section: Theoretical Foundationsmentioning

confidence: 99%

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Heterogeneity of Sentiment Risk in Malaysian Stock Market

Tuyon

Ahmad

Ghazali

2016

URAF

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Behavioral risks including investor sentiment plays an important roles in Asia’s stock market behaviors but theoretically and empirically not well understood in traditional conditional means statistic partly due to its heterogeneity roles. In contrast to the existing studies, this paper examine the heterogeneity roles of investor sentiment proxies (i.e. CSI, BCS, and FKLI) in influencing various aggregate stock market indices in Malaysia. The proposed sentiment proxies relation to stock returns are statistically analyzed using mean-based (OLS) and quantile based (QR) regression methods to uncover the relationships accross full range of stock market returns conditional distributions. In the analysis, we examine the possible multidimensional association of various conditional of sentiments (i.e. average, sentiment states, market states, and interaction between sentiment and market states) on size (i.e. big firms vs. small firms) and industry (i.e. defensive vs. speculative) segmented data. The OLS analysis does not provides conclusive significant association of sentiment to returns but the QR analysis reveal emerging patterns of sentiment heterogeneity roles. Specifically, the QR analysis reveal an asymmetric association between sentiment to returns with U-curve pattern from negative magnitude in the lower quantiles and positive magnitude in the upper quantiles. The findings not only consistent with the current hypothesis that sentiment risk is strongly affected the small firms and speculative industry but also the big firms. The sentiment-return associations are statistically significant in extreme lower quantiles and in extreme upper quantiles of return distributions. These patterns are consistent with theoretical postulates of prospect theory and evidence of assymetric overreaction of Asia investors to sentiment news. Overall, the findings from this paper provides new insights for theoretical understanding and practical application of sentiment risk in stock market.

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Section: "The Market Is Subject To Waves Of Optimistic and Pessimisupporting

confidence: 73%

Section: "The Market Is Subject To Waves Of Optimistic and Pessimimentioning

confidence: 99%

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Heterogeneity of Sentiment Risk in Malaysian Stock Market

Tuyon

Ahmad

Ghazali

2016

URAF

Self Cite

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“…In addition, Berger and Turtle (2012) document that sentiment has greater effect on stocks with specific firm characteristics especially firms that are transparent whereas Zhu and Niu (2016) suggest that firms with high information uncertainties are more affected by sentiment. In a recent study, Tuyon, Ahmad and Matahir (2016) note that degree to which sentiment affects stock prices may differ based on firm size. Accordingly, we include firm-level controls to incorporate this aspect in our analysis.…”

Section: Related Literaturementioning

confidence: 99%

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

Anusakumar¹,

Ali²,

Hooy³

2017

AAMJAF

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“…Findings showed that there was a difference in the market reaction; either in developed and developing capital markets (Otchere & Chan, 2003;Kadiyala & Rau, 2004;Docking & Koch, 2005;Bagella et al, 2007;Kaniel et al, 2008;Sharma et al, 2008). There are allegations that the difference of the market reaction is not due to the economic aspects, but to some psychological aspects, such as overreaction/ underreaction, overconfidence, loss aversion and framing bias (Tuyon et al, 2016).…”

Section: Introductionmentioning

confidence: 99%

The Influence of Information Framing towards Investors Reaction in Bullish and Bearish Market Condition: an Experiment

Rahayu

2017

JDM

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This research aims to test the reaction of the investors when the investors receive a dividend information presented with positive or negative frames at the same market conditions, either bullish or bearish market conditions. In addition, it also test the reactions of investors when they are in the bullish or bearish market conditions, the investors receive a dividend information with the same frame, both positive and negative frames. The investors reaction is indicated by the magnitude of the stock price prediction on the next day with absolute value. Experimental method is used to test the hypotheses in this research by using independent sample t-test. The results showed that there is an information framing effect to the investors when receiving the information with a positive frame in the bullish market conditions and gain domain effects occur to the investors in the bullish market conditions when the investors receive the information with a positive frame. These results are expected to provide a new insight on the different reactions of investors when receiving the same information. Info Article Pengaruh Pembingkaian Informasi terhadap Reaksi Investor pada Kondisi Pasar Bullish dan Bearish: Sebuah Eksperimen Abstrak Penelitian ini bertujuan untuk menguji reaksi investor ketika investor diberi informasi dividen dengan bingkai positif atau negatif pada kondisi pasar yang sama, baik pada saat kondisi pasar bullish (menguat) maupun bearish (melemah). Penelitian ini juga menguji reaksi investor ketika investor diberi informasi dividen dengan bingkai yang sama

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The Roles of Investor Sentiment in Malaysian Stock Market

Abstract: ABSTRACT

Cited by 16 publications

References 48 publications

Heterogeneity of Sentiment Risk in Malaysian Stock Market

Heterogeneity of Sentiment Risk in Malaysian Stock Market

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

The Influence of Information Framing towards Investors Reaction in Bullish and Bearish Market Condition: an Experiment

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