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Trading activities and cross-sectional variation in stock expected return : evidence from Kuala Lumpur stock exchange

Ali Ahmed, Huson Joher 2009, Trading activities and cross-sectional variation in stock expected return : evidence from Kuala Lumpur stock exchange, International business research, vol. 2, no. 2, pp. 29-33.

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Title Trading activities and cross-sectional variation in stock expected return : evidence from Kuala Lumpur stock exchange
Author(s) Ali Ahmed, Huson Joher
Journal name International business research
Volume number 2
Issue number 2
Start page 29
End page 33
Total pages 5
Publisher Canadian Center of Science and Education
Place of publication Toronto, Ont.
Publication date 2009-04
ISSN 1913-9004
1913-9012
Keyword(s) liquidity
expected returns
momentum effect
Farna-French factor
Summary Trading activity has been considered as one of the possible factor that explains the cross-sectional variation in stock returns. In this study I use trading volume as a possible measure to proxy for liquidity as part of the trading activity. Monthly observations were used over a period 1995 to 2005 to examine the liquidity effect on stock expected returns. Based on findings it is appeared that level of liquidity does matter in explaining the expected stock returns in Malaysian capital market. While Fama-french factors also provide important explanation for stock returns. But none of the second moment variables proxying liquidity appeared to be statistically significant. However, momentum effect apprearently explain ing the cross-sectional variation in stock returns. 
Language eng
Field of Research 140302 Econometric and Statistical Methods
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2009
Persistent URL http://hdl.handle.net/10536/DRO/DU:30016669

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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