Factors affecting abnormal trades in Malaysian stock market
This study tries to analyze how illegal insider activities respond to company information environment factors. A cross section dataset consisting of 120 companies listed in Bursa Malaysia from 2009 to 2014 were being sampled to draw a total of 840 observations for this study. Meulbroek‘s (1992) abno...
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| Format: | Thesis |
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2014
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| Summary: | This study tries to analyze how illegal insider activities respond to company information environment factors. A cross section dataset consisting of 120 companies listed in Bursa Malaysia from 2009 to 2014 were being sampled to draw a total of 840 observations for this study. Meulbroek‘s (1992) abnormal trade analysis had been use as proxy for illegal insider trade probability. Using OLS regression, firm size, institutional and non-institutional ownership had been found to be dominant predictors for illegal trade activity, all of which represent information asymmetry measures. M/B ratio and leverage ratio representing company valuation and risk factor is the other significant variables. P/E ratios are found in this study to be insignificant in predicting illegal insider trading in Malaysia. The results can help authorities to shape a better illegal trade detection mechanism and also help Malaysian investors to gauge their information risk more accurately. |
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