Capital Markets Review Vol. 25, No. 1, pp. 1-18 (2017)
Substantial Shareholders and Their Trading Behaviour around Lock-Up Expiry: Evidence from Emerging Markets
Abdolhossein Zameni1 & Othman Yong2
1Henley Business School, University of Reading Malaysia, Malaysia.
2Graduate School of Business, University of Kebangsaan, Malaysia.
Abstract: This paper examines the effects of substantial shareholders’ trading behaviour on share prices, trading volume and bid–ask spread in relation to the efficient market hypothesis (EMH) around the lock-up expiry for a sample of 379 Malaysian IPOs, between 2001-2011. Our analysis shows that the number of companies with substantial institutional and individual shareholders has increased after the IPO. This indicates that individual and substantial investors are optimistic about the future of the IPO companies in general. In addition, the number of existing substantial individual and institutional shareholders that sold their shares is greater than the existing substantial individual and institutional shareholders that bought shares. That is the reason why we witness an abnormal trading volume and abnormal bid–ask spread, which leads to abnormal returns. The two other categories, ‘new individual investors that came in as substantial shareholders after lock-up expiry’ and ‘new institutional investors that came in as substantial shareholders after lock-up expiry’, show that some investors are still optimistic about the future of these IPO companies. Our analysis shows an increase in trading volume before the lock-up expiry date by substantial shareholders, which is an indicator of illegal insider trading. Consequently, market makers to protect themselves would increase the spread, which results in a price drop. Significant cumulative average abnormal returns show inconsistency about the EMH. The results are vital to provide input into the enforcement of laws to regulate insider trading. This is to strengthen the legal regimen to prevent the influences of insider trading.
Capital Markets Review Vol. 25, No. 1, pp. 19-25 (2017)
Wai-Mun Har1, Ai-Lian Tan2, Chong-Heng Lim2 & Chai-Thing Tan2
1Faculty of Accountancy and Management, Universiti Tunku Abdul Rahman, Malaysia.
2Faculty of Business and Finance, Universiti Tunku Abdul Rahman, Malaysia.
Abstract: Interest rate plays important roles in exchange rate determination in various economics theories. However, this has been challenged conceptually or practically. Rapid development of global financial linkages makes available many attractive non-interest-bearing investments which dwarf profit opportunity from interest-bearing assets. Sensitivity of exchange rate fluctuations and institutional factors also doubt the role of interest rate in determining exchange rate. This research used nine Asian countries, which five from ASEAN (Thailand, Indonesia, Malaysia, Singapore and Philippine) and South Korea, Japan, India and China. Sample period varied between 1994 and 2015. Result from Pool Mean Group method shows that real interest rate and real effective exchange rate have long run negative relationship. This implies that interest rate does matter in determining exchange rate.
Capital Markets Review Vol. 25, No. 1, pp. 26-42 (2017)
Shangkari V. Anusakumar1 & Ruhani Ali2
1School of Management, Universiti Sains Malaysia, Malaysia.
2Graduate School of Business, Universiti Sains Malaysia, Malaysia.
Abstract: We investigate whether investor sentiment affects momentum profitability using a sample of 13 Asian countries: Bangladesh, China, Hong Kong, India, Indonesia, Japan, Malaysia, Pakistan, Philippines, Singapore, South Korea, Taiwan and Thailand. We find that momentum arises only during optimistic and mild periods. Momentum is absent for periods of pessimism. This suggests that investors are detail oriented during pessimistic periods and thereby hinder the occurrence of momentum in the stock market. We also find that global sentiment affects momentum which affirms the contagious nature of sentiment. In addition, the findings indicate that holding period sentiment also affects momentum. The results are robust to changes in sentiment period classification and the use of alternative proxies for investor sentiment.
Capital Markets Review Vol. 25, No. 1, pp. 43-62 (2017)
You-How Go1 & Wee-Yeap Lau2
1Faculty of Business and Finance, Universiti Tunku Abdul Rahman, Malaysia.
2Faculty of Economics and Administration, University of Malaya, Malaysia.
Abstract: This study attempts to test whether the direction of information spillover between crude palm oil (CPO) spot and futures price corresponds to a long-term shift in gold price. While there is yet to be a study on the CPO spot-futures relationship under the inflationary expectation of gold price, this paper hypothesizes that market participants are bullish on gold price will use the commodity as an inflation hedge, and this put speculative pressure on future CPO price. Using daily data on CPO spot and futures returns from January 1996 to November 2011, notably, it is found that: First, there is volatility spillover from current futures return to spot return during bullish period in gold due to increase in investor demand; Second, only contemporaneous volatility spillover between spot and futures returns exist during bearish period as investors become more risk averse. This study adds to another stylized fact that the upward trend of the gold price has economic content that leads to speculation of CPO price in the futures market.
Updated on 11 December 2017