Illiquidity, Investor Sentiment and Stock Returns; Evidence from Malaysia

dc.contributor.author	Gunathilaka, C.
dc.contributor.author	Jais, M.
dc.contributor.author	Balia, S.S.
dc.date.accessioned	2017-11-10T09:07:06Z
dc.date.available	2017-11-10T09:07:06Z
dc.date.issued	2016
dc.identifier.citation	Gunathilaka, C., Jais, M., Balia, S.S. (2016). "Illiquidity, Investor Sentiment and Stock Returns; Evidence from Malaysia", International Journal of Economics and Financial Issues, Vol.7 (4), pp. 478-487	en_US, si_LK
dc.identifier.issn	2146-4138
dc.identifier.uri	http://dr.lib.sjp.ac.lk/handle/123456789/6775
dc.description.abstract	Attached	en_US, si_LK
dc.description.abstract	Market illiquidity (1LQ) and investor sentiment (IS) show a significant role in Malaysian capital market, the variation of average stock returns left unexplained by capital asset pricing model is covered effectively by ILQ and sentiment risks. Our IS measure consists of six market proxies. This study tests pricing implications using size, liquidity and BM ranked portfolios. It finds that small and illiquid stocks are exposed more to sentiment risk. ILQ and sentiment factors jointly explain the variations explained by size and value effects. Furthermore, quantile regressions reveal an asymmetric influence of IS, a large (small) effect is observed on stocks with high (low) returns. A three factor model directed at capturing ILQ and IS risks is apparently persuasive in this market
dc.language.iso	en_US	en_US, si_LK
dc.publisher	International Journal of Economics and Financial Issues	en_US, si_LK
dc.subject	Asset Pricing	en_US, si_LK
dc.subject	Investor Sentiment	en_US, si_LK
dc.subject	Illiquidity	en_US, si_LK
dc.title	Illiquidity, Investor Sentiment and Stock Returns; Evidence from Malaysia	en_US, si_LK
dc.type	Article	en_US, si_LK