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Market and companies confidence index and their relation with stock return


Mansour, Basyar Yaser and Ibrahim, Yusnidah (2010) Market and companies confidence index and their relation with stock return. International Postgraduate Business Journal, 2 (1). pp. 61-72. ISSN 2180-2459

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Abstract

This paper analyzes the relationship between market confidence and stock return.In addition, it also aims to analyze the relationship between company’s confidence and stock return. Based on principal component analysis (factor analysis), a confidence index will be developed for the Kuala Lumpur stock exchange with data from 2000 to 2010. The sample consisted of companies listed on Kuala Lumpur stock exchange which will be grouped into quartiles, each representing a portfolio.Next, the average return of each portfolio for every quarter is going to be calculated.Finally, the results will indicate a significant and negative or positive relationship between the market as well as company’s confidence index and the stock return.

Item Type: Article
Uncontrolled Keywords: Market confidence index, company confidence index, investors’ sentiment, stock return
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Prof. Dr. Yusnidah Ibrahim
Date Deposited: 19 Aug 2014 08:02
Last Modified: 25 Apr 2016 03:42
URI: http://repo.uum.edu.my/id/eprint/11859

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