The effect of the union paper case on stock price and volume behaviour of Malaysian stocks

Many of the major stock exchanges in the world permit regulated short selling, among them are the United States, Australia, and Hong Kong. At the time of our research, short selling is still illegal on the Malaysian stock market. The Union Paper Holdings Bhd case on the booming...

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Main Authors: Heng, Chong Eng, Yiu, Lai Peck, Hoe, Peh Chern
Other Authors: Ho Kim Wai
Format: Final Year Project
Language:English
Published: 2014
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Online Access:http://hdl.handle.net/10356/55534
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-555342023-05-19T06:16:13Z The effect of the union paper case on stock price and volume behaviour of Malaysian stocks Heng, Chong Eng Yiu, Lai Peck Hoe, Peh Chern Ho Kim Wai Nanyang Business School DRNTU::Business Many of the major stock exchanges in the world permit regulated short selling, among them are the United States, Australia, and Hong Kong. At the time of our research, short selling is still illegal on the Malaysian stock market. The Union Paper Holdings Bhd case on the booming KLSE in June 1993 highlighted the issue of short selling whereby six people were convicted of short selling Union Paper's shares and KLSE had to conduct a massive buy-in of Union Paper's shares due to the large amount of short selling. The purpose of this project is to study the developments in the Union Paper's case and to examine whether perceived sh01t sales restrictions have any effects on the stock returns volatility, the leverage effect and the volume return relation of stocks on the KLSE and CLOB. The sample period is divided into three sub-periods: Pre-June, June and Post-June with the June period as our event window (where it is assumed that there is 'self-imposed' restraint on short sales on the part of investors due to KLSE's tightening of control on short selling). Our results show that there is no significant differences in the stock returns volatility between the three sub-periods. No evidence of leverage effect is found for the twenty sampled counters in all the sub-periods. The UOB-OTC Index shows no significant leverage effect for all the three subperiods. However, the KLSE Composite Index shows significant leverage. effect in the June period and reverse leverage effect in the Post-June period. All the twenty counters and the KLSE Composite Index show significantly positive volume-return relation in the Pre-June and Post-June periods and insignificant volume-return relation in the June period. The UOB-OTC Index shows significantly positive volume-return relation in the Post-June period, while the volume-return relationship is insignificant for both June and Pre-June periods. BUSINESS 2014-03-11T08:10:29Z 2014-03-11T08:10:29Z 1995 1995 Final Year Project (FYP) http://hdl.handle.net/10356/55534 en Nanyang Technological University 107 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business
spellingShingle DRNTU::Business
Heng, Chong Eng
Yiu, Lai Peck
Hoe, Peh Chern
The effect of the union paper case on stock price and volume behaviour of Malaysian stocks
description Many of the major stock exchanges in the world permit regulated short selling, among them are the United States, Australia, and Hong Kong. At the time of our research, short selling is still illegal on the Malaysian stock market. The Union Paper Holdings Bhd case on the booming KLSE in June 1993 highlighted the issue of short selling whereby six people were convicted of short selling Union Paper's shares and KLSE had to conduct a massive buy-in of Union Paper's shares due to the large amount of short selling. The purpose of this project is to study the developments in the Union Paper's case and to examine whether perceived sh01t sales restrictions have any effects on the stock returns volatility, the leverage effect and the volume return relation of stocks on the KLSE and CLOB. The sample period is divided into three sub-periods: Pre-June, June and Post-June with the June period as our event window (where it is assumed that there is 'self-imposed' restraint on short sales on the part of investors due to KLSE's tightening of control on short selling). Our results show that there is no significant differences in the stock returns volatility between the three sub-periods. No evidence of leverage effect is found for the twenty sampled counters in all the sub-periods. The UOB-OTC Index shows no significant leverage effect for all the three subperiods. However, the KLSE Composite Index shows significant leverage. effect in the June period and reverse leverage effect in the Post-June period. All the twenty counters and the KLSE Composite Index show significantly positive volume-return relation in the Pre-June and Post-June periods and insignificant volume-return relation in the June period. The UOB-OTC Index shows significantly positive volume-return relation in the Post-June period, while the volume-return relationship is insignificant for both June and Pre-June periods.
author2 Ho Kim Wai
author_facet Ho Kim Wai
Heng, Chong Eng
Yiu, Lai Peck
Hoe, Peh Chern
format Final Year Project
author Heng, Chong Eng
Yiu, Lai Peck
Hoe, Peh Chern
author_sort Heng, Chong Eng
title The effect of the union paper case on stock price and volume behaviour of Malaysian stocks
title_short The effect of the union paper case on stock price and volume behaviour of Malaysian stocks
title_full The effect of the union paper case on stock price and volume behaviour of Malaysian stocks
title_fullStr The effect of the union paper case on stock price and volume behaviour of Malaysian stocks
title_full_unstemmed The effect of the union paper case on stock price and volume behaviour of Malaysian stocks
title_sort effect of the union paper case on stock price and volume behaviour of malaysian stocks
publishDate 2014
url http://hdl.handle.net/10356/55534
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