The Co-Movement of the Malaysian Stock Return

The study of the fundamental analysis and stock return covers the period from 1999 to 2010 with the sample of 389 Malaysian stocks that are actively traded in Bursa Malaysia. The data has been analysed using Pooled OLS regression and the results showed that all the variables namely size, ROA, book t...

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Main Author:	Shanmugam, Nakesvari
Format:	Thesis
Language:	eng eng
Published:	2011
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/2870/1/Nakesvari_Shanmugam.pdf https://etd.uum.edu.my/2870/2/1.Nakesvari_Shanmugam.pdf
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id	my-uum-etd.2870
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Ahmad Zaluki, Nurwati Ashikkin
topic	HG Finance
spellingShingle	HG Finance Shanmugam, Nakesvari The Co-Movement of the Malaysian Stock Return
description	The study of the fundamental analysis and stock return covers the period from 1999 to 2010 with the sample of 389 Malaysian stocks that are actively traded in Bursa Malaysia. The data has been analysed using Pooled OLS regression and the results showed that all the variables namely size, ROA, book to market ratio (BVMV), inflation and spread are significant at 1% level except effective tax rate. However, the R2 indicated that the explanation power of the models is very weak. It can be concluded that all the variables that have been indentified above can be used to predict Malaysian stock return as they are able to explain the stock return. Thus, it tells that the fundamental factors can be used as an analytical tool to measure their influential level towards the stock returns. Finally, investing in the stock market could be a predictable form of investment if the investors know on what they are doing.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Shanmugam, Nakesvari
author_facet	Shanmugam, Nakesvari
author_sort	Shanmugam, Nakesvari
title	The Co-Movement of the Malaysian Stock Return
title_short	The Co-Movement of the Malaysian Stock Return
title_full	The Co-Movement of the Malaysian Stock Return
title_fullStr	The Co-Movement of the Malaysian Stock Return
title_full_unstemmed	The Co-Movement of the Malaysian Stock Return
title_sort	co-movement of the malaysian stock return
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2011
url	https://etd.uum.edu.my/2870/1/Nakesvari_Shanmugam.pdf https://etd.uum.edu.my/2870/2/1.Nakesvari_Shanmugam.pdf
_version_	1747827449243107328
spelling	my-uum-etd.28702016-04-24T00:56:01Z The Co-Movement of the Malaysian Stock Return 2011-06 Shanmugam, Nakesvari Ahmad Zaluki, Nurwati Ashikkin Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance The study of the fundamental analysis and stock return covers the period from 1999 to 2010 with the sample of 389 Malaysian stocks that are actively traded in Bursa Malaysia. The data has been analysed using Pooled OLS regression and the results showed that all the variables namely size, ROA, book to market ratio (BVMV), inflation and spread are significant at 1% level except effective tax rate. However, the R2 indicated that the explanation power of the models is very weak. It can be concluded that all the variables that have been indentified above can be used to predict Malaysian stock return as they are able to explain the stock return. Thus, it tells that the fundamental factors can be used as an analytical tool to measure their influential level towards the stock returns. Finally, investing in the stock market could be a predictable form of investment if the investors know on what they are doing. 2011-06 Thesis https://etd.uum.edu.my/2870/ https://etd.uum.edu.my/2870/1/Nakesvari_Shanmugam.pdf application/pdf eng validuser https://etd.uum.edu.my/2870/2/1.Nakesvari_Shanmugam.pdf application/pdf eng public masters masters Universiti Utara Malaysia Aydogan, K., & Gursoy, G. (2001). The P/E and price-to-book ratios as predictors of stock returns in emerging equity markets. Faculty of Business Administration Bilkent University. Basu S. (1983). The relationship between earnings yield, market value, and return for NYSE Common Stocks: Further Evidence, Journal of Financial Economics, 12 (4), pp. 129-156. Barber, Brad M., and John d. Lyon (1997). 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The Co-Movement of the Malaysian Stock Return

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