Impacts of Unusual Market Activity Announcement on Stock Return : Evidence from The Ace Market in Malaysia

Liew, Venus Khim-Sen and Chen, Dylan Siong-Yain (2019) Impacts of Unusual Market Activity Announcement on Stock Return : Evidence from The Ace Market in Malaysia. Asian Journal of Finance & Accounting, 11 (2). pp. 173-185. ISSN 1946-052X

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Abstract

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.

Item Type: E-Article
Uncontrolled Keywords: Unusual Market Activity; Ace Market; Stock Return; Bursa Malaysia, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 20 Dec 2019 04:38
Last Modified: 20 Dec 2019 04:38
URI: http://ir.unimas.my/id/eprint/28432

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