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https://ptsldigital.ukm.my/jspui/handle/123456789/519451| Title: | Investor sentiment and financial performance in Malaysia |
| Authors: | Mamunur Rashid (ZP00471) |
| Supervisor: | Izani, Professor |
| Keywords: | Investor sentiment Financial performance Malaysia Investments -- Psychological aspects -- Malaysia |
| Issue Date: | 6-Jan-2014 |
| Description: | Extant behavioural finance theories employ cross-section of company-specific data to examine investor sentiment, which enabled these theories to only link investor sentiment with corporate stock price. However, similar to learning from economic psychology, this study proposes that sentiment is a force that combines investors’ opinion and their experience with market that requires a combination of attitude, market and macroeconomic information to link investor sentiment with financial performance. By constructing the first investor sentiment index for Malaysia; this study investigates long- and short-run relationship between investor sentiment and indicators of financial performance in Malaysia. The study employs factor analysis to construct investor sentiment index. Vector Error Correction Model is utilised to investigate short- and long-run relationships between time series of investor sentiment index and stock price (composite and for various sectors), currency exchange rate index, bank deposit and foreign direct investment. The study utilises data range of 56 quarters between the year 1998 and 2011. Investor sentiment, alone as well as with other determinants, was found to be a significant predictor of contemporaneous stock price, currency exchange rate, bank deposit and foreign direct investment. Strong wave of investor sentiment in the long-run repulses investors from the financial market due to declining investor confidence. Partially significant short-run relationship and irregular error correction possibility signify that sentiment-biased investors underperform rational investors. Manufacturing sector is more exposed to investor sentiment than stocks of other sectors. Similar to stock market, results indicate that higher sentiment brings local and foreign investors to financial markets when the bank deposit and foreign direct investment connect positively to higher investor sentiment. Sentiment in conjunction with gross domestic products, interest rate and money supply negatively influences currency rate. The study finds that overconfidence of Malaysian investors is stronger than their herding behaviour or market sentiment. It can also be inferred from the results that retail investor sentiment is stronger than the institutional investor sentiment in Malaysia.,Ph.D |
| Pages: | 275 |
| Call Number: | HG4515.15.M345 2014 |
| Publisher: | UKM, Bangi |
| Appears in Collections: | Graduate School of Business / Pusat Pengajian Siswazah Perniagaan |
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