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2: Total standardized abnormal returns (TSAR) and cumulative total standardized abnormal returns (CTSAR)
Source publication
This study aims to examine stock price reactions on selected stocks listed on Kuala Lumpur Stock Exchange (KLSE) vis-à-vis the short selling announcements. In this study, the results shows that the market reacted negatively towards the announcement of the reimposition of short selling restrictions and for the subsequent removal of short selling res...
Contexts in source publication
Context 1
... also implied that the further negative reactions on the stock prices. Figure 4.1 shows the trends of total standardized abnormal returns (TSAR) and cumulative total standardized abnormal returns (CTSAR) over 31 days (-15, +15) of the suspension of short selling activities announcement for fifty approved stocks. It is clearly that the market is in a negatively view towards the suspension of short selling activities. ...
Context 2
... to Fama (1970), an efficient market will tend to fully reflect all the available information. From Figure 4.1, it shows that the market is efficient in responding to the announcement. This is because the market responded dramatically negative on the day 0. Notes: The above shows the stock price reactions around the event date (28 th August 1997) re-impose of short selling restrictions. ...
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