Factors Associated with Stock Price Volatility and Evaluation of Gordon's Share Valuation Model on the Kuala Lumpur Stock Exchange
The worldwide increase in share price volatility in recent years has stimulated an abundance of research in an effort to understand individual share price volatility in international markets. The objectives of this study are: (i) to isolate factors suggested by investment theories and practices an...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English English |
| Published: |
Universiti Putra Malaysia Press
1993
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| Online Access: | http://psasir.upm.edu.my/id/eprint/2944/1/Factors_Associated_with_Stock_Price_Volatility_and_Evaluation_of_Gordon%27s_Share.pdf http://psasir.upm.edu.my/id/eprint/2944/ |
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| Institution: | Universiti Putra Malaysia |
| Language: | English English |
| Summary: | The worldwide increase in share price volatility in recent years has stimulated an abundance of research in an
effort to understand individual share price volatility in international markets. The objectives of this study are:
(i) to isolate factors suggested by investment theories and practices and to observe their ability to jointly explain
share price volatility on the developing Kuala Lumpur Stock Exchange (KLSE) and (ii) to evaluate the
applicability of Gordon's share valuation model on the KLSE. The findings suggest that five of the six suggested
variables jointly explain 23 per cent of price changes on the KLSE for the period 1975 to 1990, and two of these
factors were significant at 5 per cent level. Gordon's model holds well with F-statistics significant at 5 per cent
level, R-squared is 70 per cent, and the signs of the coefficient of dividend and earnings growth variables are in
the predicted direction. Contrary to popular belief, fundamental factors appear to be a significant force
influencing share price changes on the KLSE. |
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