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Author: | Ahmad, Z. Hussain, S. |
Title: | KLSE Long Run Overreaction and the Chinese New- Year Effect |
Journal: | Journal of Business Finance and Accounting
2001 : JAN-MAR, VOL. 28:1-2, p. 63-106 |
Index terms: | MALAYSIA CHINA STOCKS |
Language: | eng |
Abstract: | This study investigates long run overreaction and seasonal effects for Malaysian stocks quoted on the Kuala Lumpur Stock Exchange (KLSE), for the period 1986-1996. Stocks exhibiting extreme returns relative to the market over a three year period experience a reversal of fortunes during the following three years. There is also evidence that employing a contrarian trading strategy may yield excess returns. Of particular interest is the apparent existence of a Chinese New Year effect in both the level of market returns, and the overreaction profile for KLSE stocks. These seasonalities mirror the January-effect observed in US markets. |
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