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Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia


Citation

Tan, Yeng May and Cheng, Fan Fah and Hassan, Taufiq (2018) Impacts of ownership concentration and liquidity on stock momentum profitability in Malaysia. Asian Academy of Management Journal of Accounting and Finance, 14 (1). pp. 57-81. ISSN 1823-4992; ESSN: 2180-4192

Abstract

This paper explores the effects of two characteristics ubiquitously relevant to the emerging markets in Asia concerning on momentum profitability. By utilising the data of 776 stocks listed on Bursa Malaysia from the period of 2006 to 2014, the study examined how ownership concentration affected momentum profitability. The results of this study revealed that the higher the ownership concentration, the more profitable the momentum investment strategy. It is posited that concentrated ownership led to lower corporate transparency and higher information asymmetry. Hence, resulting to stronger momentum effect. The study also investigated the impacts of liquidity on the profitability of momentum trading strategy. Our results show that price momentum strategies worked better among higher liquidity (smaller spread) stocks.


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Official URL or Download Paper: http://web.usm.my/journal/aamjaf/vol14_1_2018.html

Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.21315/aamjaf2018.14.1.3
Publisher: Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
Keywords: Investment; Portfolio selection; Momentum strategies; Ownership concentration; Liquidity
Depositing User: Nabilah Mustapa
Date Deposited: 08 Jul 2019 07:26
Last Modified: 08 Jul 2019 07:26
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.21315/aamjaf2018.14.1.3
URI: http://psasir.upm.edu.my/id/eprint/69831
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