Herd behavior in Malaysian capital market

This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United States...

Full description

Saved in:
Bibliographic Details
Main Authors: Kassim, Salina, Duasa, Jarita
Format: Conference or Workshop Item
Language:English
Published: 2009
Online Access:http://irep.iium.edu.my/11975/1/salina_Kassim_5.pdf
http://irep.iium.edu.my/11975/
http://www.jaes.reprograph.ro/articles/spring2009/DuasaJ_KassimS.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.iium.irep.11975
record_format dspace
spelling my.iium.irep.119752011-12-21T00:31:07Z http://irep.iium.edu.my/11975/ Herd behavior in Malaysian capital market Kassim, Salina Duasa, Jarita This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United States, United Kingdom, Singapore and Hong Kong using quarterly data covering the period of Q1:1991 to Q3:2007.In addition, the variance decompositions and impulse response functions analyses are also adopted for further inferences. The findings provide empirical support on the existence of herd instinct among the foreign investors in the Malaysian capital market. The findings imply that the Malaysian short-term capital market can be volatile due to the herd behavior of the major portfolio investors. It is therefore imperative for Malaysia to take the necessary pre-cautionary measures to ensure that an aggregate reversal in portfolio investment flows would not result in a de-stabilising impact on the economy. This study emphasizes the need to improve market supervision and strengthen the financial structure in efforts to reduce the impact of capital reversal on the Malaysian financial market. 2009 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/11975/1/salina_Kassim_5.pdf Kassim, Salina and Duasa, Jarita (2009) Herd behavior in Malaysian capital market. In: The International Conference on Islamic Economics and Economies of the OIC Countries 2009 (ICIE2009) , 28-29 April, 2009, Kuala Lumpur. http://www.jaes.reprograph.ro/articles/spring2009/DuasaJ_KassimS.pdf
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
description This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United States, United Kingdom, Singapore and Hong Kong using quarterly data covering the period of Q1:1991 to Q3:2007.In addition, the variance decompositions and impulse response functions analyses are also adopted for further inferences. The findings provide empirical support on the existence of herd instinct among the foreign investors in the Malaysian capital market. The findings imply that the Malaysian short-term capital market can be volatile due to the herd behavior of the major portfolio investors. It is therefore imperative for Malaysia to take the necessary pre-cautionary measures to ensure that an aggregate reversal in portfolio investment flows would not result in a de-stabilising impact on the economy. This study emphasizes the need to improve market supervision and strengthen the financial structure in efforts to reduce the impact of capital reversal on the Malaysian financial market.
format Conference or Workshop Item
author Kassim, Salina
Duasa, Jarita
spellingShingle Kassim, Salina
Duasa, Jarita
Herd behavior in Malaysian capital market
author_facet Kassim, Salina
Duasa, Jarita
author_sort Kassim, Salina
title Herd behavior in Malaysian capital market
title_short Herd behavior in Malaysian capital market
title_full Herd behavior in Malaysian capital market
title_fullStr Herd behavior in Malaysian capital market
title_full_unstemmed Herd behavior in Malaysian capital market
title_sort herd behavior in malaysian capital market
publishDate 2009
url http://irep.iium.edu.my/11975/1/salina_Kassim_5.pdf
http://irep.iium.edu.my/11975/
http://www.jaes.reprograph.ro/articles/spring2009/DuasaJ_KassimS.pdf
_version_ 1643606559372083200
score 13.154949