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- W1567472961 abstract "During the recent global stock market crash in 2007 to 2008, the MSCI World Index of developed markets fell approximately 50 percent in value; hence the contagion effect to the emerging markets was inevitable that it fell further. In early 2009, the MSCI Emerging Markets Index has fallen 66 percent from peak to trough, which had plunged deeper than the stock markets of developed countries. It would be of no surprises for academics and practitioners to link the local stock markets behaviours to other regional stock markets as one of the contributions in their research papers and write ups. Theoretical wise, it has for decades, a vast number of explanations been offered in attempts to explain the behaviour of asset prices from the perspective of investor’s psychology. The theory of noise trader by Black (1986) and Trueman (1988) initiated the attempt by modeling that noise trading no longer exists as a temporarily shock or short term movement in asset prices as previously discussed in Efficient Market Hypothesis. This paper introduces the investor sentiment composite index constructed specifically for the emerging markets, in particular the Bursa Malaysia. The composite index is constructed comprising of liquidity proxy, the information IPOs and advancer decliners ratio. Unlike the study done on developed market, this paper introduces a measurement of liquidity that has been used in study of liquidity on emerging market by Amivest (1997). A proxy known as oversubscription ratio is taken from the IPO literature is also added that signifies investors demand in the market. Bursa Malaysia is expected to closely represent the emerging markets as to study the impact investor sentiment has on the returns and also the contribution to the bull and bear stock market defined by the leading indicator KLCI." @default.
- W1567472961 created "2016-06-24" @default.
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- W1567472961 date "2010-01-01" @default.
- W1567472961 modified "2023-09-24" @default.
- W1567472961 title "The Emerging Markets’ Investor Sentiment Composite Index: A Test on Bursa Malaysia" @default.
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- W1567472961 doi "https://doi.org/10.2139/ssrn.1662800" @default.
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