An investigation of magnet effect via overnight returns: the Malaysian case

An investigation of magnet effect via overnight returns: the Malaysian case

Purpose – Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this paper is to investigate the existence of magnet effect in Bursa Malaysia via overnight returns. Design/methodology/app...

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Main Authors: Sifat, Imtiaz Mohammad, Mohamad, Azhar, Hamid, Zarinah
Format: Article
Language:English
Published: Emerald Publishing Limited 2018
Subjects:
H Social Sciences (General)
HG Finance
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/69545/
http://irep.iium.edu.my/69545/
http://irep.iium.edu.my/69545/
http://irep.iium.edu.my/69545/1/JCMS-2018-Imitiaz%2C%20Azhar%20and%20Zarinah.pdf
id iium-69545
recordtype eprints
spelling iium-695452019-02-01T01:57:45Z http://irep.iium.edu.my/69545/ An investigation of magnet effect via overnight returns: the Malaysian case Sifat, Imtiaz Mohammad Mohamad, Azhar Hamid, Zarinah H Social Sciences (General) HG Finance HG4501 Stocks, investment, speculation Purpose – Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this paper is to investigate the existence of magnet effect in Bursa Malaysia via overnight returns. Design/methodology/approach – This study investigates the existence of magnet effect via overnight returns in Bursa Malaysia by utilizing historical daily price data from 1994 to 2017 by probabilistic regression approaches. The authors divide the study period into three distinct regimes based on regulatory limit mechanisms. Findings – Based on demarcated regimes, the authors find evidence of magnet effect in Bursa Malaysia throughout all regimes, with a heightened magnitude detected between 2002 and 2013. Moreover, upper limit scenarios exhibit a greater propensity for magnet effect. The authors end the paper with implications of the findings for portfolio managers, intraday traders, and policymakers. Originality/value – The research is the first of its kind in attempting to measure the magnet effect in Malaysia via overnight jumps. Emerald Publishing Limited 2018 Article PeerReviewed application/pdf en http://irep.iium.edu.my/69545/1/JCMS-2018-Imitiaz%2C%20Azhar%20and%20Zarinah.pdf Sifat, Imtiaz Mohammad and Mohamad, Azhar and Hamid, Zarinah (2018) An investigation of magnet effect via overnight returns: the Malaysian case. Journal of Capital Markets Studies, 2 (2). pp. 121-135. ISSN 2514-4774 https://www.emeraldinsight.com/doi/pdfplus/10.1108/JCMS-04-2018-0012 10.1108/JCMS-04-2018-0012
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic H Social Sciences (General)
HG Finance
HG4501 Stocks, investment, speculation
spellingShingle H Social Sciences (General)
HG Finance
HG4501 Stocks, investment, speculation
Sifat, Imtiaz Mohammad
Mohamad, Azhar
Hamid, Zarinah
An investigation of magnet effect via overnight returns: the Malaysian case
description Purpose – Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this paper is to investigate the existence of magnet effect in Bursa Malaysia via overnight returns. Design/methodology/approach – This study investigates the existence of magnet effect via overnight returns in Bursa Malaysia by utilizing historical daily price data from 1994 to 2017 by probabilistic regression approaches. The authors divide the study period into three distinct regimes based on regulatory limit mechanisms. Findings – Based on demarcated regimes, the authors find evidence of magnet effect in Bursa Malaysia throughout all regimes, with a heightened magnitude detected between 2002 and 2013. Moreover, upper limit scenarios exhibit a greater propensity for magnet effect. The authors end the paper with implications of the findings for portfolio managers, intraday traders, and policymakers. Originality/value – The research is the first of its kind in attempting to measure the magnet effect in Malaysia via overnight jumps.
format Article
author Sifat, Imtiaz Mohammad
Mohamad, Azhar
Hamid, Zarinah
author_facet Sifat, Imtiaz Mohammad
Mohamad, Azhar
Hamid, Zarinah
author_sort Sifat, Imtiaz Mohammad
title An investigation of magnet effect via overnight returns: the Malaysian case
title_short An investigation of magnet effect via overnight returns: the Malaysian case
title_full An investigation of magnet effect via overnight returns: the Malaysian case
title_fullStr An investigation of magnet effect via overnight returns: the Malaysian case
title_full_unstemmed An investigation of magnet effect via overnight returns: the Malaysian case
title_sort investigation of magnet effect via overnight returns: the malaysian case
publisher Emerald Publishing Limited
publishDate 2018
url http://irep.iium.edu.my/69545/
http://irep.iium.edu.my/69545/
http://irep.iium.edu.my/69545/
http://irep.iium.edu.my/69545/1/JCMS-2018-Imitiaz%2C%20Azhar%20and%20Zarinah.pdf
first_indexed 2023-09-18T21:38:43Z
last_indexed 2023-09-18T21:38:43Z
_version_ 1777412995658285056

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