Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia
Mohamad Jais and
Sophee Sulong Balia
Additional contact information
Chandana Gunathilaka: University of Sri Jayewardenepura, Colombo, Sri Lanka
Mohamad Jais: University of Malaysia Sarawak, Sarawak, Malaysia.
Sophee Sulong Balia: University of Malaysia Sarawak, Sarawak, Malaysia.
International Journal of Economics and Financial Issues, 2017, vol. 7, issue 4, 478-487
Market illiquidity (ILQ) and investor sentiment (IS) show a significant role in Malaysian capital market, the variation of average stock returns left unexplained by capital asset pricing model is covered effectively by ILQ and sentiment risks. Our IS measure consists of six market proxies. This study tests pricing implications using size, liquidity and BM ranked portfolios. It finds that small and illiquid stocks are exposed more to sentiment risk. ILQ and sentiment factors jointly explain the variations explained by size and value effects. Furthermore, quantile regressions reveal an asymmetric influence of IS, a large (small) effect is observed on stocks with high (low) returns. A three factor model directed at capturing ILQ and IS risks is apparently persuasive in this market.
Keywords: Asset Pricing; Investor Sentiment; Illiquidity (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-04-57
Access Statistics for this article
International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk
More articles in International Journal of Economics and Financial Issues from Econjournals
Series data maintained by Ilhan Ozturk ().