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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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 |
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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 |
_version_ |
1770567284529561600 |