1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

Earnings Management and Investor Protection: An International Comparison

From Efficient Markets Theory to Behavioral Finance

Giving Content to Investor Sentiment: The Role of Media in the Stock Market

We investigate whether investor sentiment affects the cross-section of stock returns in China A-share market.The evidence shows that the sensitivity of stock returns to sentiment changes is different. When an index of investor sentiment takes high values,low tangible assets,high Debt-asset ratio,and non-dividend-paying stocks earn relatively higher returns,when sentiment is low,the aforementioned categories of stocks earn relatively lower returns.When sentiment is high,low-price,unprofitable and high book-market ratio stocks earn relatively higher returns and vice versa,but which is insignificant.The capitalization, volatility and institutional ownership appear to have no significant cross-section effect of investor sentiment on its characteristic Portfolio return.

Investor Sentiment and the Cross-Section of Stock Returns

The pleasure of obtaining gains and the pain of incurring losses is a powerful motivating factor determining the trading behaviour of investors. The evaluation of gains and losses is dependent on the reference point. The purpose of this research is fourfold. Firstly, we investigate whether daily extreme price changes catch the attention of investors. Secondly, we determine whether investors' judgement exhibits reference dependence. Thirdly, we investigate whether an attention-based strategy could provide temporary profit-making opportunity to investors. Finally, we evaluate the impact of the reference point on the stock values. We find evidence not only that investors are attention-driven, but also that their judgement displays reference dependence. The attention-based strategy does not generate positive abnormal returns except for strategy of buying portfolios consisting of loser stocks. Moreover, the portfolios whose current price rises above (or falls below) its 52-week high (or 52-week low) at the date of formulation tend to underperform (or outperform) in the subsequent period.

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Do malaysian investors' judgement exhibit reference dependence?

Institutional investorsâ€™ behavioural biases have been growingly observed in global financial markets but the governance policy initiatives to mitigate these biases have been long overdue. Taking Malaysia as the case, this paper examines the possibility of behavioural biases among professional investors and discusses the importance of behavioural biases governance in asset management industry. Combination of survey and Delphi methods are used for data collection (survey) and validation of opinions (Delphi). The survey shows the possibility of behavioural biases impacting the thought, decision, and investing strategies of the fund manager. Of great concern, the need to govern behavioural biases in the fund management governance framework has been neglected. This brings challenges to the performance and sustainability of fund management industry. This paper provides behavioural finance insights to inform researchers, practitioners and regulators on the needs and ways to govern behavioural biases through behavioural governance.

/pdf/governance-of-behavioural-biases-in-asset-management-4g840q2tdg.pdf

Governance of Behavioural Biases in Asset Management Industry: Insights from Fund Managers in Malaysia

The lack of empirical dossiers on the examination of the weekend effect causes intrigues us to investigate its determinant in the trading behaviour perspective. Employing one traditional interaction dummy model, and one day-by-day model, we found the market index and size-based portfolios of weekend effect have been driven by the attention of investor. Further, under the attention bias hypothesis, we confirm that investor’s irrationality during Monday is the driver of the anomaly because of its heuristical bias judgment. We address the difficulties that investors face on searching the thousands of stocks they can potentially deal on the first trading day as the rationalization. In a short, our findings surmise that attention bias is the driver of investor irrationality on Monday and resulting Weekend Effect. Keywords: weekend anomaly, bad news, attention bias, Malaysia stock market

https://jurnal.ugm.ac.id/jieb/article/download/6247/4925

Bad news announcement on investor’s monday irrationality: insight from malaysia

PurposeThis study aims to observe the extent of asset diversification benefits in the Association of Southeast Asian Nations (ASEAN)-5 market by examining the effect of financial integration (FI) and financial development (FD) on domestic stock–bond co-movements, SBcorr.Design/methodology/approachThe dynamic conditional correlation - multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) technique is adopted to construct FI and stock−bond co-movement variables. Then, the study uses static panel data analysis to examine the effect of FI on stock−bond co-movements.FindingsFI does not provide asset diversification benefits due to high country risks in ASEAN-5. However, when FI is moderated by FD, FI × FD, the study shows that FI × FD provides higher asset diversification benefits in ASEAN-5.Originality/valueThis study shows the importance of incorporating the level of FD when assessing the effect of FI on stock–bond co-movements in ASEAN-5. In the presence of FI, a well-diversified investor should always consider the state of FD, which will show a better representation of asset diversification strategy in the emerging markets. Additionally, policymakers of ASEAN-5 countries should prioritise enhancing their financial system to attract more investment into the countries.

Stock–bond co-movement in ASEAN-5: the role of financial integration and financial development

Padang Besar is a border town in Malaysia and it is located in the northern part of Perlis, which shares a border with the province of Songkhla, Thailand. This border town is popular for shopping activities among Malaysian and Thai. Most visitors and tourists come during the weekends, sometimes up to thousands at one time. This research paper examines the motivations of cross border shoppers from the perspective of domestic tourists in Padang Besar, Perlis. The objective is to identify the consumer characteristics and analyze the relationship between market characteristics with cross border shopping. This study employs quantitative method and the data were collected using self-administered questionnaires. Statistical software was used to analyze the 375 returned questionnaires. The findings revealed that most of the domestic tourists came from the lower income group and most of them were day tripper. They tend to spend more on food and beverages, while their average spending is more than RM300. Moreover, market characteristics show strong positive relationship towards this shopping activity. The information gathered is beneficial for both neighbouring countries as the government can help to improve the shopping area by facilitating the development with related tourism infrastructure and amenities.

Zamri Ahmad

Papers

Do malaysian investors' judgement exhibit reference dependence?

Governance of Behavioural Biases in Asset Management Industry: Insights from Fund Managers in Malaysia

Bad news announcement on investor’s monday irrationality: insight from malaysia

Stock–bond co-movement in ASEAN-5: the role of financial integration and financial development

Cross Border Shopping from the Perspective of Domestic Tourists in Padang Besar, Perlis