The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia
This paper investigates the GST imposition effect on stock overreaction and trading volume in Bursa Malaysia and Australian Securities Exchange (ASX). To evaluate the stock overreaction, t-test, Wilcoxon Signed-Rank Test and Mann-Whitney U-Test are employed to analyse the market-adjusted ab...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Penerbit UKM
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/82402/ http://psasir.upm.edu.my/id/eprint/82402/1/The%20effect%20of%20goods%20and%20services%20tax%20%28GST%29%20imposition%20on%20stock%20market%20overreaction%20and%20trading%20volume%20in%20Malaysia%20and%20Australia.pdf |
| _version_ | 1848859285726953472 |
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| author | Lee, Yok Yong Yahya, Mohamed Hisham Amin Noordin, Bany Ariffin Selamat, Aslam Izah |
| author_facet | Lee, Yok Yong Yahya, Mohamed Hisham Amin Noordin, Bany Ariffin Selamat, Aslam Izah |
| author_sort | Lee, Yok Yong |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper investigates the GST imposition effect on stock overreaction and trading volume in Bursa Malaysia and Australian Securities Exchange (ASX). To evaluate the stock overreaction, t-test, Wilcoxon Signed-Rank Test and Mann-Whitney U-Test are employed to analyse the market-adjusted abnormal returns. The homogeneity of stock trading volume is assessed by block resampling bootstrapping, t-test and regression. Consistent with the Overreaction Hypothesis, this research reveals that all arbitrage portfolios over one-month interval in Bursa Malaysia are able to generate signifcant abnormal profits. This infers the profitability of implementing short-term contrarian strategy in the Malaysian stock market. However, the analysis for ASX shows the opposite. Additionally, GST imposition reduces the trading volume in Bursa Malaysia but not in ASX. This empirical result will be of interest to the policymakers who are considering imposing tax on fee-based financial services, as well as the investors and fund managers who are concern about profits maximisation. |
| first_indexed | 2025-11-15T12:26:55Z |
| format | Article |
| id | upm-82402 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T12:26:55Z |
| publishDate | 2019 |
| publisher | Penerbit UKM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-824022020-10-16T14:31:41Z http://psasir.upm.edu.my/id/eprint/82402/ The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia Lee, Yok Yong Yahya, Mohamed Hisham Amin Noordin, Bany Ariffin Selamat, Aslam Izah This paper investigates the GST imposition effect on stock overreaction and trading volume in Bursa Malaysia and Australian Securities Exchange (ASX). To evaluate the stock overreaction, t-test, Wilcoxon Signed-Rank Test and Mann-Whitney U-Test are employed to analyse the market-adjusted abnormal returns. The homogeneity of stock trading volume is assessed by block resampling bootstrapping, t-test and regression. Consistent with the Overreaction Hypothesis, this research reveals that all arbitrage portfolios over one-month interval in Bursa Malaysia are able to generate signifcant abnormal profits. This infers the profitability of implementing short-term contrarian strategy in the Malaysian stock market. However, the analysis for ASX shows the opposite. Additionally, GST imposition reduces the trading volume in Bursa Malaysia but not in ASX. This empirical result will be of interest to the policymakers who are considering imposing tax on fee-based financial services, as well as the investors and fund managers who are concern about profits maximisation. Penerbit UKM 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/82402/1/The%20effect%20of%20goods%20and%20services%20tax%20%28GST%29%20imposition%20on%20stock%20market%20overreaction%20and%20trading%20volume%20in%20Malaysia%20and%20Australia.pdf Lee, Yok Yong and Yahya, Mohamed Hisham and Amin Noordin, Bany Ariffin and Selamat, Aslam Izah (2019) The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia. Jurnal Pengurusan, 55. pp. 73-84. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/article/view/20535 10.17576/pengurusan-2019-55-06 |
| spellingShingle | Lee, Yok Yong Yahya, Mohamed Hisham Amin Noordin, Bany Ariffin Selamat, Aslam Izah The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia |
| title | The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia |
| title_full | The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia |
| title_fullStr | The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia |
| title_full_unstemmed | The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia |
| title_short | The effect of goods and services tax (GST) imposition on stock market overreaction and trading volume in Malaysia and Australia |
| title_sort | effect of goods and services tax (gst) imposition on stock market overreaction and trading volume in malaysia and australia |
| url | http://psasir.upm.edu.my/id/eprint/82402/ http://psasir.upm.edu.my/id/eprint/82402/ http://psasir.upm.edu.my/id/eprint/82402/ http://psasir.upm.edu.my/id/eprint/82402/1/The%20effect%20of%20goods%20and%20services%20tax%20%28GST%29%20imposition%20on%20stock%20market%20overreaction%20and%20trading%20volume%20in%20Malaysia%20and%20Australia.pdf |