INFLUENCE OF BEHAVIOURAL ELEMENT ON STOCK RISK: EVIDENCE FROM MALAYSIAN LISTED COMPANIES

Mohammad Ariff Azman Shah, Norliza Che-Yahyaa
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Abstract

This paper examined the influence of behavioural element on stock risk of Malaysian listed companies. There were 90 firms consisting of 30 large capitalizations, 30 middle capitalization and 30 small capitalization firms. The time frame for this research is 5 years ranging from 2012 to 2016. The dependent variable, stock risk, is represented by two proxies, Beta and Standard Deviation. The independent variables of this research are liquidity, profitability, gearing and behavioural element. The non-behavioural factors were added to examine if those factors also play a part in determining stock risk. By employing an Ordinary Least Square regression, the results showed that when the stock risk is proxied by systematic risk or Beta, the behavioural factor is significant while all the other non-behavioural factors are found not. However, if the stock risk is unsystematic risk or Standard Deviation, the behavioural factor is not significant while the liquidity and gearing variables are significant.
行为因素对股票风险的影响:来自马来西亚上市公司的证据
本文考察了行为因素对马来西亚上市公司股票风险的影响。共有90家企业,其中大型企业30家,中型企业30家,小型企业30家。本研究的时间框架为5年,从2012年到2016年。因变量股票风险由Beta和标准差两个代理变量表示。本研究的自变量为流动性、盈利能力、杠杆率和行为因素。加入非行为因素是为了检验这些因素是否也在决定股票风险中起作用。通过普通最小二乘回归分析,结果表明,当股票风险用系统风险或Beta代替时,行为因素显著,而其他非行为因素均不显著。然而,如果股票风险是非系统风险或标准差,行为因素不显著,流动性和杠杆变量显著。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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