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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing Limited
2018
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/69545/ http://irep.iium.edu.my/69545/1/JCMS-2018-Imitiaz%2C%20Azhar%20and%20Zarinah.pdf |
| _version_ | 1848787134116265984 |
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| author | Sifat, Imtiaz Mohammad Mohamad, Azhar Hamid, Zarinah |
| author_facet | Sifat, Imtiaz Mohammad Mohamad, Azhar Hamid, Zarinah |
| author_sort | Sifat, Imtiaz Mohammad |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T17:20:06Z |
| format | Article |
| id | iium-69545 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T17:20:06Z |
| publishDate | 2018 |
| publisher | Emerald Publishing Limited |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 |
| 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 |
| title | 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_short | An investigation of magnet effect via overnight returns: the Malaysian case |
| title_sort | investigation of magnet effect via overnight returns: the malaysian case |
| topic | H Social Sciences (General) HG Finance HG4501 Stocks, investment, speculation |
| 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 |