The Bahaviour of Malaysian Stock Prices

Abstract

This study examines the return and risk behaviour of Malaysian stock using the Composite Index and its component stocks. At the individual firm level, stock trading the Kuala Lumpur Stock Exchange stabilizes over time within a trading day, while he index portfolio returns fail to reveal any systematic trading pattern which indicated peice stabilization. During the study period, the Kuala Lumpur Stock Exchange utilized Se call market system, a periodic. single-price auction, to determine order-matching grices at the market open and close of both the morning and afternoon trading sessions. The results of this study suggest that no particular benefit of reducing market selaslity is achieved by the call market system. We also document some evidence shat trading volume and firm size are important factors which explain for autocorrelations, price reversals, and the behaviour of intra - and interday returns.