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Overreaction of syariah stocks: does size matter?


Citation

Ali, Norli and Abd. Talib, Norli and Md Nasir, Annuar and Zainal Abidin, Sazali (2013) Overreaction of syariah stocks: does size matter? International Journal of Economics and Management, 7 (1). pp. 123-135. ISSN 1823-836X

Abstract / Synopsis

The purpose of the study is to investigate stock overreaction behavior among syariah stocks in Bursa Malaysia using basic framework of De Bondt and Thaler (1985). Like its conventional counterpart, evidence of stock overreaction behavior is also observed in syariah compliant stocks in Malaysia. The study documents that both winner and loser portfolios experience reversal behavior even after adjustment for size, thus implies that size does not matter. Furthermore, after adjustment for size, loser portfolios outperform winner portfolios in the test period. This indicates that syariah compliant stocks in Malaysia also provide opportunity of earning abnormal profit by resorting to contrarian strategy.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Faculty of Economics and Management, Universiti Putra Malaysia
Keywords: Syariah Stocks; Stock prices; Stock overreaction behavior
Depositing User: Umikalthom Abdullah
Date Deposited: 08 Apr 2015 15:49
Last Modified: 03 Jul 2015 16:05
URI: http://psasir.upm.edu.my/id/eprint/30853
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