Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia
Over the last few decades, there are increasing interest on risk-returns trade off. From the traditional view of risk-returns trade-off, higher risk should be compensated by higher returns. However, in recent years, it is getting more empirical studies showing the low volatility anomaly phenomenon e...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/36068/ |
| _version_ | 1848795216396419072 |
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| author | Chen, Soo Hua |
| author_facet | Chen, Soo Hua |
| author_sort | Chen, Soo Hua |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Over the last few decades, there are increasing interest on risk-returns trade off. From the traditional view of risk-returns trade-off, higher risk should be compensated by higher returns. However, in recent years, it is getting more empirical studies showing the low volatility anomaly phenomenon exist in many markets regardless of developed or emerging market. This low volatility anomaly has become an international phenomenon. There are no certain conclusion on whether low volatility effect exist in emerging market. In this paper, the existence of low volatility anomaly will be examined for Malaysian stock market, KLCI. The empirical evidence shows that volatility and returns are positively related. Besides, the determinants of volatility will be analysed from the perspective of financial and accounting performance. In order to perform the panel data analysis, information of the 30 companies in KLCI covering the period from year 2004 to 2014 will be included. It includes the volatility of returns as the dependent variables and firm’s leverage, profitability, age, asset tangibility, growth rate, market capitalisation and earnings per share as the independent variables. From the result of fixed effect panel regression, firm’s leverage, profitability, age, asset tangibility and market capitalisation have negative relationship with volatility of returns. Whereas, growth rate and earnings per share have positive relationship with volatility of returns. |
| first_indexed | 2025-11-14T19:28:34Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-36068 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:28:34Z |
| publishDate | 2016 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-360682017-10-19T16:50:44Z https://eprints.nottingham.ac.uk/36068/ Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia Chen, Soo Hua Over the last few decades, there are increasing interest on risk-returns trade off. From the traditional view of risk-returns trade-off, higher risk should be compensated by higher returns. However, in recent years, it is getting more empirical studies showing the low volatility anomaly phenomenon exist in many markets regardless of developed or emerging market. This low volatility anomaly has become an international phenomenon. There are no certain conclusion on whether low volatility effect exist in emerging market. In this paper, the existence of low volatility anomaly will be examined for Malaysian stock market, KLCI. The empirical evidence shows that volatility and returns are positively related. Besides, the determinants of volatility will be analysed from the perspective of financial and accounting performance. In order to perform the panel data analysis, information of the 30 companies in KLCI covering the period from year 2004 to 2014 will be included. It includes the volatility of returns as the dependent variables and firm’s leverage, profitability, age, asset tangibility, growth rate, market capitalisation and earnings per share as the independent variables. From the result of fixed effect panel regression, firm’s leverage, profitability, age, asset tangibility and market capitalisation have negative relationship with volatility of returns. Whereas, growth rate and earnings per share have positive relationship with volatility of returns. 2016 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/36068/1/ChenSooHua-36068.pdf Chen, Soo Hua (2016) Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia. [Dissertation (University of Nottingham only)] |
| spellingShingle | Chen, Soo Hua Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia |
| title | Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia |
| title_full | Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia |
| title_fullStr | Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia |
| title_full_unstemmed | Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia |
| title_short | Risk-Returns Trade Off and Determinants of Volatility: Evidence from Malaysia |
| title_sort | risk-returns trade off and determinants of volatility: evidence from malaysia |
| url | https://eprints.nottingham.ac.uk/36068/ |