Factors affecting abnormal trades in Malaysian stock market


Lim, Kean Hua (2014) Factors affecting abnormal trades in Malaysian stock market. Masters thesis, Multimedia University.

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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.

Item Type: Thesis (Masters)
Additional Information: Call No.: HG4551 L56 2014
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
Divisions: Faculty of Management (FOM) > MBA Programme
Depositing User: Ms Nurul Iqtiani Ahmad
Date Deposited: 12 Aug 2014 02:37
Last Modified: 30 Jun 2015 07:06
URII: http://shdl.mmu.edu.my/id/eprint/5669


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