Determinants of Malaysian stock returns in oil and gas industry

This research paper documents the determinants of Malaysian stock return in oil and gas industry by eight factors that influence the stock return namely dividend-price ratio, earningsprice ratio, price-to-book ratio, asset growth, company size, capital structure, unsystematic risk, and systematic ri...

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Main Author:	Nur Farhana, Abd Aziz
Format:	Thesis
Language:	eng eng
Published:	2016
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/6053/1/s813846_01.pdf https://etd.uum.edu.my/6053/2/s813846_02.pdf
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id	my-uum-etd.6053
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Hanafi, Norshafizah
topic	HG Finance
spellingShingle	HG Finance Nur Farhana, Abd Aziz Determinants of Malaysian stock returns in oil and gas industry
description	This research paper documents the determinants of Malaysian stock return in oil and gas industry by eight factors that influence the stock return namely dividend-price ratio, earningsprice ratio, price-to-book ratio, asset growth, company size, capital structure, unsystematic risk, and systematic risk using Pearson Correlation analysis and Standard Multiple Regression analysis model in the Malaysia stock market (Bursa Malaysia). The existence of these relationships is examined in terms of fourteen oil and gas public companies in Malaysia that are listed in Bursa Malaysia Berhad, and their performance throughout a recent five consecutive years (2010-2014). Through Pearson Correlation analysis, the researcher reports a strong relationship and high significance level between asset growth and stock return; capital structure and stock return; and price-to-book ratio and stock return. While a weak relationship and low significance level between systematic risk and stock return; unsystematic risk and stock return; company size and stock return. Capital structure and unsystematic risk are variables that have inverse relationship with stock return while other variables indicate positive relationship with stock return. Overall, asset growth shows the highest significance level and variance in stock return while the systematic risk shows the lowest significance level and variance in stock return. Through Standard Multiple Regression analysis, dividend-price ratio, earnings-price ratio, price-to-book ratio, asset growth, and capital structure correlate substantially with stock return. The Durbin-Watson statistics reports the existence of positive serial correlation, significant difference and small effect size in the study. Asset growth reports the strongest unique contribution variable in explaining the stock return.
format	Thesis
qualification_name	other
qualification_level	Master's degree
author	Nur Farhana, Abd Aziz
author_facet	Nur Farhana, Abd Aziz
author_sort	Nur Farhana, Abd Aziz
title	Determinants of Malaysian stock returns in oil and gas industry
title_short	Determinants of Malaysian stock returns in oil and gas industry
title_full	Determinants of Malaysian stock returns in oil and gas industry
title_fullStr	Determinants of Malaysian stock returns in oil and gas industry
title_full_unstemmed	Determinants of Malaysian stock returns in oil and gas industry
title_sort	determinants of malaysian stock returns in oil and gas industry
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2016
url	https://etd.uum.edu.my/6053/1/s813846_01.pdf https://etd.uum.edu.my/6053/2/s813846_02.pdf
_version_	1747828015459467264
spelling	my-uum-etd.60532021-04-19T04:19:28Z Determinants of Malaysian stock returns in oil and gas industry 2016 Nur Farhana, Abd Aziz Hanafi, Norshafizah Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This research paper documents the determinants of Malaysian stock return in oil and gas industry by eight factors that influence the stock return namely dividend-price ratio, earningsprice ratio, price-to-book ratio, asset growth, company size, capital structure, unsystematic risk, and systematic risk using Pearson Correlation analysis and Standard Multiple Regression analysis model in the Malaysia stock market (Bursa Malaysia). The existence of these relationships is examined in terms of fourteen oil and gas public companies in Malaysia that are listed in Bursa Malaysia Berhad, and their performance throughout a recent five consecutive years (2010-2014). Through Pearson Correlation analysis, the researcher reports a strong relationship and high significance level between asset growth and stock return; capital structure and stock return; and price-to-book ratio and stock return. While a weak relationship and low significance level between systematic risk and stock return; unsystematic risk and stock return; company size and stock return. Capital structure and unsystematic risk are variables that have inverse relationship with stock return while other variables indicate positive relationship with stock return. Overall, asset growth shows the highest significance level and variance in stock return while the systematic risk shows the lowest significance level and variance in stock return. Through Standard Multiple Regression analysis, dividend-price ratio, earnings-price ratio, price-to-book ratio, asset growth, and capital structure correlate substantially with stock return. The Durbin-Watson statistics reports the existence of positive serial correlation, significant difference and small effect size in the study. Asset growth reports the strongest unique contribution variable in explaining the stock return. 2016 Thesis https://etd.uum.edu.my/6053/ https://etd.uum.edu.my/6053/1/s813846_01.pdf text eng public https://etd.uum.edu.my/6053/2/s813846_02.pdf text eng public other masters Universiti Utara Malaysia Adomian, G. (1988). A Review of the Decomposition in Applied Mathematics. Journal of Mathematical Analysis and Applications, 135(2), 501–544. Allen, D. E., & Bujang,I (2009). Stock Returns and Equity Premium Evidence Using Dividend Price Ratios and Dividend Yields in Malaysia. School of Accounting, Finance and Economics & FEMARC Working Paper Series Edith Cowan University, 1-14. An, J., Bhojraj, S., & Ng, D. T. (1990). Warranted Multiples and Future Returns. Journal of Accounting, Auditing & Finance, 13, 143-169. Andrijasevic, M., & Pasic, V. (2014). A Blueprint of Ratio Analysis as Information Basis of Corporation Financial Management. Problems of Management in the 21st Century, 9(2), 117-123. Aras, G., & Yilmaz, M. K. (2008). Price-Earnings Ratio, Dividend Yield , and Market-To-Book Ratio To Predict Return On Stock Market : Evidence From The Emerging Markets. Journal of Global Business and Technology, 4(1), 18–31. Asiri, B. K. (2015). How Investors Perceive Financial Ratios at Different Growth Opportunities and Financial Leverages. Journal of Business Studies Quarterly, 6(3), 1-10. Brigham, E. F., & Houston, J. F. (2010). Essentials of Financial Management. (Y.-M. Chiang, H. Sing Lee, & B. Ariffin, Eds.) (2nd ed.). Singapore: Cengage Learning Asia, 74. Business Monitor International. (2014). Malaysia Business Forecast Report Includes 10- Year Forecast to 2023: Export-Led Growth Continues. Business Monitor International Ltd, (October), Q1 2015. ISSN 1744-8794, www.businessmonitor.com Cakici, N., & Topyan, K. (2013). Return Predictability of Turkish Stocks : An Empirical Investigation. Emerging Markets Finance & Trade, (September-October), 49(5), 99–119. http://doi.org/10.2753/REE1540-496X490506 Campbell, J., & Shiller, R. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1(3), 1–34. http://doi.org/10.1093/rfs/1.3.195 Campbell, J., & Shiller, R. J. (1988). Stock Prices, Earnings, and Expected Dividends. Journal of Finance, 43(3), 661–676. http://doi.org/10.2307/2328190

Determinants of Malaysian stock returns in oil and gas industry

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