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KLSE Long Run Overreaction and the Chinese New Year Effect

Lookup NU author(s): Professor Simon Hussain


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This study investigates long run overreaction and seasonal effects for Malaysian stocks quoted on the Kuala Lumpur Stock Exchange (KLSE), for the period 1986–1996. Stocks exhibiting extreme returns relative to the market over a three year period experience a reversal of fortunes during the following three years. There is also evidence that employing a contrarian trading strategy may yield excess returns. Of particular interest is the apparent existence of a Chinese New Year effect in both the level of market returns, and the overreaction profile for KLSE stocks. These seasonalities mirror the January-effect observed in US markets.

Publication metadata

Author(s): Ahmad Z, Hussain S

Publication type: Article

Publication status: Published

Journal: Journal of Business Finance & Accounting

Year: 2001

Volume: 28

Issue: 1-2

Pages: 63-105

ISSN (print): 0306-686X

ISSN (electronic): 1468-5957

Publisher: Wiley-Blackwell Publishing Ltd.


DOI: 10.1111/1468-5957.00366

Notes: This paper is one of 16 chosen by American Accounting Association as an item of special interest in their International Accounting Forum quarterly newsletter (Summer, 2001). Editor: W.B. Thomas.


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