Illiquidity, Investor Sentiment and Stock Returns; Evidence from Malaysia

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dc.contributor.authorGunathilaka, C.
dc.contributor.authorJais, M.
dc.contributor.authorBalia, S.S.
dc.date.accessioned2017-11-10T09:07:06Z
dc.date.available2017-11-10T09:07:06Z
dc.date.issued2016
dc.description.abstractAttacheden_US, si_LK
dc.description.abstractMarket 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.identifier.citationGunathilaka, 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. 478-487en_US, si_LK
dc.identifier.issn2146-4138
dc.identifier.urihttp://dr.lib.sjp.ac.lk/handle/123456789/6775
dc.language.isoen_USen_US, si_LK
dc.publisherInternational Journal of Economics and Financial Issuesen_US, si_LK
dc.subjectAsset Pricingen_US, si_LK
dc.subjectInvestor Sentimenten_US, si_LK
dc.subjectIlliquidityen_US, si_LK
dc.titleIlliquidity, Investor Sentiment and Stock Returns; Evidence from Malaysiaen_US, si_LK
dc.typeArticleen_US, si_LK

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