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Stock overreaction and financial bubbles: evidence from Malaysia


Ali, Norli and Md Nassir, Annuar and Hassan, Taufiq and Zainal Abidin, Sazali (2009) Stock overreaction and financial bubbles: evidence from Malaysia. Journal of Money, Investment and Banking, 11. pp. 90-101. ISSN 1450-288X


This paper attempts to seek linkage between stock overreaction behaviour and financial bubbles in the Malaysian stock market. Monthly data over a period between January 1987 and December 2006 shows no clear evidence of stock overreaction behavior in the market. However, when the study split the analysis into two sub-periods, evidence of stock overreaction behaviour becomes significant in the pre-crisis sub-period, but there is no significant evidence of financial bubbles in the same sub-period. During the post crisis, evidence of stock overreaction seems to diminish, and evidence of financial bubbles however, is observed in the period. This study believes that evidence of bubbles observed in the Malaysian stock market in the post crisis period is due to stock overreaction that took place in the market prior to the crisis.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: EuroJournals Publishing
Keywords: Stock overreaction; Bubbles; Duration dependence; Mean reversion
Depositing User: Nabilah Mustapa
Date Deposited: 08 Jun 2016 02:09
Last Modified: 08 Jun 2016 02:09
URI: http://psasir.upm.edu.my/id/eprint/16848
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