Robust Statistical Analysis of Long-Term Performance For Sharia-Compliant Companies in Malaysia Stock Exchange

Transcription

1 Iteratoal Joural of Maagemet Scece ad Busess Admstrato Volume 3, Issue 3, March 07, Pages DOI: /jmsba URL: Robust Statstcal Aalyss of Log-Term Performace For Shara-Complat Compaes Malaysa Stock Exchage Nashrah Abu Bakar, Sofa Rosb Islamc Busess School, College of Busess, Uverst Utara Malaysa, Malaysa School of Mechatroc Egeerg, Uverst Malaysa Perls, Malaysa Abstract: I the year of 06, Malaysa faced wth the challege stablty of ecoomc codto. Ths stuato weakes Malaysa currecy that gves drect mpact to all ecoomc sectors Malaysa. Cosequetly, ths stuato gves sgfcat mpact o the performace of the shara-complat compaes lsted o the Malaysa Stock Exchage. Therefore, ths research valdates the log-term performace of share prce usg market adjusted buy ad hold retur (MABHR). The, ths study performed ormalty test to check the dstrbuto of data for retur ad volatlty. Next, correlato aalyss performed to valdate the relatoshp betwee retur ad volatlty. The results show that the Sold Automotve Berhad gves the hghest rate of retur wth respect to the market. Whle UMW Ol & Gas Corporato Berhad shows the lowest rate of retur wth respect to the market. The fdg of ths research helps ecoomsts to uderstad the market tred emprcal thkg. I addto, t also helps the vestors to uderstad the market ad make the rght decso vestg durg ths challegg stuato. Keywords: Volatlty, data mg, retur, Shara-complat Compaes, facal egeerg. Itroducto Ital Publc Offergs (IPO) have bee wdely studed the facal lterature. IPO was ssued whe the prvate compaes swtch to the publc compay (Dara, 0). Therefore, compaes start rasg captal from the ew vestors. There are may emprcal types of research o the aomales of IPO whch are hgh tal retur ad the subsequet bad log term returs (Goerge, et al., 007). Ital retur s referred to the frst-day retur, whle the logterm retur s referred to the oe tll fve-year returs. Most of the researchers are used three-year performace of retur. Assessmet of log term perfomace of IPO s a mportat for compay because t s cocered wth the rsk. The rsk s related to retur ad loss. Thus, compay must maage rsk effcetly order to geerate hgh retur. The global evdece shows the degree of IPO uderprcg s hgh. A study of Islam, et al. (00) regardg the average degree of IPO uderprcg Bagladesh foud that the degree of IPO uderprcg s very hgh that s 480.7%. Whle, a study regardg log-term performace of IPO show uderperformed dcators (see Drobetz, et al. 005). Besdes the performace of IPO short term ad log term, the volatlty of the compaes s mportat to study. Volatlty s referred to the degree of varato of a tradg prce seres over tme as measured by the stadard devato. Extreme stock prce volatlty dsrupts the smooth fuctog of the facal system ad leads to structural or regulatory chages (Beckett ad Sello, 989). Past research that focuses o Malaysa IPO shows that IPO of compaes experece wth the adverse log term performace typcally lasts for the frst three years after gog publc. Ahmad Zaluk ad Kect (0) foud that durg , Malaysa IPO showed a uder-performace of -4.3% to -4.74% over the three years after the lstg. Smlarly, Zarafat ad Vejzagc (04) foud a uder-performace of -3.8% for compaes that wet publc betwee 004 ad 007. Eve there are much research focuses o the log-term performace ad volatlty of the shares prce but t s stll lack of researchers that exame the log-term performace ad volatlty retur for shara-complat compaes. Thus, ths 49 Iteratoal Joural of Maagemet Scece ad Busess Admstrato, Vol. 3, Issue 3, pp , March 07

2 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage paper tres to fulfll ths gap by aalyzg the log-term performace ad volatlty of shara-complat compaes that ssues IPO the year 03. Specfcally, ths study exames log-term performace of IPO for shara-complat compaes usg buy ad hold returs (BHR) method. Ths study focuses o shara-complat compaes due to the outstadg growth of shara-complat compaes Malaysa market. Sce shara board s establshed Malaysa Stock Exchage (MSE) 997, the demads for shara compaes are hgher tha o-shara-complat compaes. As reported by Securtes Commsso (06) out of 67 compaes from 904 compaes are shara-complat compaes. Therefore, t s mportat to exame the performace of shara-complat compaes.. Lterature revew There s a vast body of lterature documetg the log-term performace of IPO almost all over the world. Amog other, Che et al, (008) show that Tawa IPO, that came to the market durg the perod 99 to 007 have a better log-term performace tha the market. Drobetz et al. (005) dcated that log-term performace of Swss IPOs ad foud that IPOs uderperformed ther bechmarks. Kool ad Suret (004) vestgated log-term performace Caada. Usg a data from 99 to 998, they foud that IPOs uderperformed. Some of the factors prevously detfed to fluece log-term performace of IPO cluded uderwrter reputato (Che ad Wag, 06), formato asymmetrc (Escobar ad Serrao, 06) ad owershp structure (He, et al., 05). I Malaysa, Corhay, et al. (00) exames the log-term performace of IPO Malaysa over the four-year perod betwee 99 ad 996. They foud that IPO teds to outperform the market wth a postve cumulatve adjusted market retur (CAR) of 4.7% over three years from the lstg day. Ahmad-Zaluk et al. (007) foud that sgfcat over performace for equally weghted evet tme CAR ad buy-ad-hold returs usg two market bechmarks, though ot for value-weghted returs or usg a matched compay bechmarks. The sgfcat abormal performace also dsappeared uder the caledar-tme approach usg the Fama-Frech three-factor model. Whle the log ru performace of ma- ad secod-board IPO do ot dffer from the years of lstg, ssue proceeds, ad tal returs foud to be performace-related. Abu Bakar ad Rosb (06) examed the log-term performace of IPO for shara-complat compaes lsted o the Malaysa Stock Exchage from 006 utl 00. Usg Cumulatve Abormal Retur (CAR), ths study shows that CAR for equal-weght ad value-weght of IPO for shara-complat compaes s sgfcatly hgher over performg by 4.58% ad 4.% respectvely the year 006. Whle the results 007 (-.34%) ad 008 (-3.43%) for value weght are uderperformed. Ths study also foud that the uderprcg, offer prce, offer sze, market type, tradg/servce dustry, cosumer product dustry, property dustry ad REIT dustry were statstcally sgfcat. Besdes the study that focuses o the log-term performace of IPO, volatlty of retur also mportat determg the performace of the share prce. Study focus o the determats factor of bak performace Cha foud that the hgh level of stock market volatlty could traslate to hgher retur o equty. Rather tha leadg to mproved proftablty, the labor productvty has a egatve effect o ecoomc value added (Ta ad Floros, 0). Ismal (00) uses Value at Rsk (VaR) approach to compute the volatlty (rsk) of returs ad expected losses of Islamc bak facg Idoesa. He foud that the equty ad debt-based facg produce sustaable returs of bak facg. He also foud that the performace of servce-based facg s very sestve to the ecoomc codtos ad fds that rsk of vestmet ad expected losses are well maaged. Whle the study from Floros ad Salvador (06) regardg the effect of tradg volume ad ope terest o the volatlty of futures markets foud that market depth has a effect o the volatlty of future markets but the drecto of ths effect depeds o the type of cotract. Faff ad McKezet (007) cocluded that low or eve egatve retur of autocorrelatos s more lkely stuatos where: retur volatlty s hgh; prce falls by a large amout; traded stock volumes are hgh, ad the ecoomy s a recessoary phase. Boovorachote ad Lakmas (06) vestgate the mpact of tradg actvty cludg tradg volume ad ope terest o prce volatlty Asa future exchages. The results show a postve cotemporaeous relatoshp betwee expected ad uexpected tradg volume ad volatlty, whle ope terest mtgates volatlty. 50

3 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage 3. Research Methodology Ths objectve of ths research s to determe the log-term performace of share for compaes of that shara-complat orgazatos. Therefore, ths research valdates the log-term performace of share prce usg market adjusted buy ad hold retur (MABHR). The, ths study performed ormalty test to check the dstrbuto of data for retur ad volatlty. Next, correlato aalyss also s performed to valdate the relatoshp betwee retur ad volatlty 3. Dervatve equato for market adjusted buy ad hold retur (MABHR) I calculatg the markets adjusted buy ad hold retur (MABHR), we eed to follow these procedures. Frstly, determe the retur for compay of partcular tradg day d, usg Equato (). R PC PC d d d, () PCd R,d: Retur for compay perod d PC d: Share Prce for compay, perod d PC d-: Share Prce for compay, perod d- D: Tme terval day The, we calculate the retur for a partcular compay partcular moth t, usg Equato (). R t, d d R d, R,t: Retur for compay partcular moth t : umber of tradg days oe moth () Next, determe the retur for referece market of partcular tradg day d, usg Equato (3). I ths paper, we selected Kuala Lumpur Stock Exchage (KLSE) as referece market. PM d PM d Rmd, (3) RM d R m,d: Retur for market perod d PM d: Share Prce for market perod d PM d-: Share Prce for market, perod d- D: Tme terval the day The, we calculate the retur for the market partcular moth, usg Equato (4). R mt, d d R md, R,t: Retur for compay partcular moth t : umber of tradg days oe moth (4) Fally, market adjusted buy ad holds retur for a compay (MABHR ) calculated as Equato (5). t36 t36 R, R, (5) MABHR t m t t t 3. Dervatve for rate of retur After the value of MABHR s calculated, ths research focused o the statstcal aalyss for ormalty test ad correlato test. Ths research mplemet below equato for the rate of retur for share prce: Pt Pt Rt 00% (6) P t Where R t s rate of retur for perod t, P t s share prce at perod t ad Pt s share prce at perod t-. The, we calculate the average retur for 43 days tradg perod as below equato: 5

4 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage R average t t R t (7) Where R average s average rate or retur for partcular selected perod, R t s the rate of retur for perod t ad s the umber of tradg days selected perod. 3.3 Dervatve of volatlty Volatlty s a statstcal measure of the dsperso of returs for a gve securty or market dex. Volatlty measured by usg the stadard devato betwee returs from that same securty or market dex. For the volatlty, the calculato derves as follow procedure. The devato of retur calculated as below: Devato( D ) R R (8) t t average Where R average s average rate or retur for partcular selected perod ad R t s the rate of retur for perod t. The, the devato squared, D R R t t average Next, the varace for perod t calculated as below: Var t Dt Rt Raverage t t The volatlty for perod t calculated as below: Vol t D Rt Raverage t t (9) (0) () 3.4 Mathematcal Dervatve of Pearso Product Momet Correlato Coeffcet Cosder the Pearso product-momet correlato coeffcet of two -dmesoal vectors = {,,..., } ad = {,,..., }. Pearso correlato s stated as the rato betwee the covarace of ad ad the product of ther stadard devatos. Pearso's correlato coeffcet, whe appled to a populato, s commoly represeted by below equato: cov,, () where cov s the covarace, The, covarace expressed as below: s the stadard devato of, ad s the stadard devato of. cov(, ) E (3) where E s the expectato ad s the mea of. Therefore, Equato () ca be wrtte as, E (4) The, the mathematcal equato for ρ ca be expressed terms of ucetered momets. Mea of populato s expressed as ext equato, E, E Varace of populato s expressed as ext equato, 5

5 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage E E E E E E E E E E E E E E E E Stadard devato of populato s expressed as ext equato, E E, E E Covarace of populato s expressed as ext equato, E E E E E E E E E E E E E E E E E E E Therefore, Equato (4) ca be represeted as:, E E E E E E E (5) The, the equato for the sample s derved. Sample Pearso's correlato coeffcet s commoly represeted by the letter r. Cosder the sample of dataset x = {x,...,x } cotag values ad aother dataset y = {y,...,y } cotag values the that formula for r s: r xy, cov( xy, ) (6) ss x y where cov s the covarace, s x s the stadard devato of x, ad s y s the stadard devato of y. The, sample covarace ca be expressed as below: x x y y sample cov xy, Therefore, Equato (6) ca be wrtte as: r xy, x x y y ss x y (7) (8) The, the mathematcal equato for r ca be expressed terms of ucetered momets. Mea of sample, x y x y 53

6 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage 54 Varace of sample, [ ] x s x x x x x x x x x x x x x x x x x x x x x x x x x y s y y y y Stadard devato of sample, x s x x, y s y y Covarace of sample,

7 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage cov, x x y y x y x y x y xy x y x y x y y x x y xy x y y x x y xy x y x y x y x y x y xy x y x y Therefore, Equato (8) ca be represeted as: x y x y r xy, x y x y x x y y x y x y x x y y (9) x y x y x x y y 4.3 Result ad dscusso I ths secto, the research s performed to determe the log-term performace of share prce accordg to market adjusted buy ad hold retur (MABHR) method ad correlato aalyss. 4. Classfcato of compaes accordg to MABHR value The calculato for MABHR s performed for compaes that ssue tal publc offergs the year of 03.The classfcato of compaes accordg to MABHR value s show Table. From Table, Sold Automotve Berhad gves the hghest rate of retur wth respect to the market. Ths compay s volved tradg ad dstrbuto of 55

8 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage automotve compoets for worldwde market. The MABHR for Sold Automotve Berhad s.58. Ths value dcates a postve ga. Meawhle, UMW Ol & Gas Corporato Berhad shows the lowest rate of retur wth respect to the market. The type of ths compay actvty s ol ad gas servce provder for Malaysa ad teratoal customers. The MABHR value s Ths value dcates egatve retur or loss. Table : Classfcato of compaes accordg to MABHR value No. Compay Type of dustry MABHR Sold Automotve Berhad Tradg ad dstrbuto of automotve compoets.58 Westports Holdgs Berhad Operator of Westports Malaysa Retur level Hgh retur 3 Matrx Cocepts Holdgs Berhad Property developer ABM Fujya Berhad Vehcle Batteres Maufacturer Ttjaya Lad Berhad Housg Developer Low retur 6 Berjaya Auto Berhad Mazda car dstrbutor Carg Pharmacy Group Berhad Pharmacy Retaler Kager Iteratoal Berhad Bamboo floorg producer Barakah Offshore Petroleum Berhad Ol ad Gas servce provder Negatve retur (loss) 0 UMW Ol & Gas Corporato Berhad Ol ad Gas servce provder Dyamc behavor of buy ad hold retur (BHR) value I ths secto buy ad hold retur s llustrated graph to show the dyamc behavor of buy ad hold retur (BHR) value. The, three compaes are selected for buy ad hold retur (BHR) dyamc movemet comparso. From Table, Westports Holdgs Berhad s selected amog compaes wth hgh retur level. Next, ABM Fujya Berhad s selected amog compaes wth low retur level. The, UMW Ol & Gas Corporato Berhad s selected amog compaes wth egatve retur level. Fgure shows the dyamc behavor of buy ad holds retur (BHR) for Westport's Holdg Berhad. The value of BHR s.00 at the frst moth ad creasg to become.8 the 36 th moth. There s a hgh cremet of BHR value that cotrbutes to hgh retur for every share prce. Fgure shows the dyamc behavor of buy ad hold retur (BHR) for Matrx Cocepts Holdg Berhad. The value of BHR s.05 at the frst moth ad creasg to become.4 the 36 th moth. There s a moderate cremet of BHR value that cotrbutes to moderate retur for every share prce. 56

9 BHR BHR Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage.5.0 Westports Holdgs Berhad Perod (moth) Fgure : BHR dyamc behavor for Westports Holdgs Berhad (Hgh postve retur category).5 Matrx Cocepts Holdgs Berhad Perod (moth) Fgure : BHR dyamc behavor for Matrx Cocepts Holdgs Berhad (Low postve retur category) Fgure 3 shows the dyamc behavor of buy ad hold retur (BHR) for UMW Ol & Gas Corporato Berhad. The value of BHR s.04 at the frst moth ad decreasg to become 0.0 the 36 th moth. There s hgh decremet of BHR value that cotrbutes to hgh loss for every share prce. 57

10 Cout Normal Percetles BHR Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage.5 UMW Ol & Gas Corporato Berhad Perod (moth) Fgure 3: BHR dyamc behavor for UMW Ol & Gas Corporato Berhad (Negatve retur category) 4.3 Normalty checkg for retur ad volatlty data I ths secto, ths research checks the ormalty status for retur ad volatlty data for three compaes that are Westports Holdgs Berhad, Matrx Cocepts Holdgs Berhad, ad UMW Ol & Gas Corporato Berhad. a. Westports Holdgs Berhad Fgure 4 s the hstogram for retur for a share prce of Westport Holdgs Berhad. The mea value s.3% ad the stadard devato s 0.768%. The, Fgure 5 shows ormal probablty plot of retur data for Westport Holdgs Berhad. Both of graphs show a ormal dstrbuto of data. 8 6 Westports holdgs Berhad Normal Probablty Plot of Retur mu =.3 sgma = Percetles Referece Le Retur (%) Fgure 4: Hstogram for retur of share prce Retur Fgure 5: Normal probablty plot for retur Ths research verfed the fdg Fgure 4 ad Fgure 5 wth performg ormalty test of Shapro-Wlk test. Table shows the p-value for Shapro-Wlk test s 0.455, ths value s more tha The dstrbuto of data faled to reject the ull hypothess of Shapro-Wlk test. Therefore, the data dstrbuto for retur s a ormal dstrbuto. I determg the ormalty of data dstrbuto, ths research omtted outlers that do ot chage the results but does affect assumptos. Table : Tests of Normalty 58

11 Cout Normal Percetles Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage Kolmogorov-Smrov a Shapro-Wlk Statstc df Sg. Statstc df Sg. retur * Fgure 6 s the hstogram for volatlty for share prce of Westport Holdgs Berhad. The mea value s.9 ad stadard devato s The, Fgure 7 shows ormal probablty plot of retur data for Westport Holdgs Berhad. Both of the graphs show a ormal dstrbuto of data. Ths research verfed the fdg wth performg ormalty test of Shapro-Wlk test. Table 3 shows the p-value for Shapro-Wlk test s 0.300, ths value s more tha The dstrbuto of data faled to reject the ull hypothess of Shapro-Wlk test. Therefore, the data dstrbuto for retur s a ormal dstrbuto. I determg the ormalty of data dstrbuto, ths research omtted outlers that do ot chage the results but does affect assumptos. 0 Westports holdgs Berhad Normal Probablty Plot of Volatlty mu =.8657 sgma = Percetles Referece Le Volatlty Fgure 6: Hstogram for volatlty of share prce Volatlty Fgure 7: Normal probablty plot for volatlty Table 3: Tests of Normalty Kolmogorov-Smrov a Shapro-Wlk Statstc df Sg. Statstc df Sg. volatlty * b. Matrx Cocepts Holdgs Berhad Fgure 8 s the hstogram for retur for share prce of Matrx Cocepts Holdgs Berhad. The mea value s.48% ad stadard devato s 0.73%. The, Fgure 9 shows ormal probablty plot of retur data for Matrx Cocepts Holdgs Berhad. Both of the graphs show a ormal dstrbuto of data. Ths research verfed the fdg wth performg ormalty test of Shapro-Wlk test. Table 4 shows the p-value for Shapro-Wlk test s 0.456, ths value s more tha The dstrbuto of data faled to reject the ull hypothess of Shapro-Wlk test. Therefore, the data dstrbuto for retur s a ormal dstrbuto. I determg the ormalty of data dstrbuto, ths research omtted outlers that do ot chage the results but does affect assumptos. Fgure 0 s the hstogram for volatlty for the share prce of Matrx Cocepts Holdgs Berhad. The mea value s.4% ad the stadard devato s The, Fgure shows ormal probablty plot of retur data for Matrx Cocepts Holdgs Berhad. Both of graphs show a ormal dstrbuto of data. Ths research verfed the fdg wth performg ormalty test of Shapro-Wlk test. Table 5 shows the p-value for Shapro-Wlk test s 0.453, ths value s more tha The dstrbuto of data fals to reject the ull hypothess of Shapro-Wlk test. Therefore, the data 59

12 Cout Normal Percetles Cout Normal Percetles Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage dstrbuto for retur s a ormal dstrbuto. I determg the ormalty of data dstrbuto, ths research omtted outlers that do ot chage the results but does affect assumptos Matrx Cocept Holdg Berhad Normal Probablty Plot of Retur mu = sgma = Percetles Referece Le Retur (%) Fgure 8: Hstogram for volatlty of share prce Retur (%) Fgure 9: Normal probablty plot for volatlty Table 4: Tests of Normalty Kolmogorov-Smrov a Shapro-Wlk Statstc df Sg. Statstc df Sg. Retur * Matrx Cocept Holdg Berhad Normal Probablty Plot of Volatlty mu =.405 sgma = Percetles Referece Le Volatlty (%) Fgure 0: Hstogram for volatlty of share prce Volatlty Fgure : Normal probablty plot for volatlty Table 5: Tests of Normalty Kolmogorov-Smrov a Shapro-Wlk Statstc df Sg. Statstc df Sg. Volatlty * c. UMW Ol & Gas Corporato Berhad 60

13 Cout Normal Percetles Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage Fgure s the hstogram for retur for the share prce of UMW Ol & Gas Corporato Berhad. The mea value s -.58% ad the stadard devato s.073%. The, Fgure 3 shows ormal probablty plot of retur data for UMW Ol & Gas Corporato Berhad. Both of graphs show a ormal dstrbuto of data. Ths research verfed the fdg wth performg ormalty test of Shapro-Wlk test. Table 6 shows the p-value for Shapro-Wlk test s 0.074, ths value s more tha The dstrbuto of data faled to reject the ull hypothess of Shapro-Wlk test. Therefore, the data dstrbuto for retur s a ormal dstrbuto. I determg the ormalty of data dstrbuto, ths research omtted outlers that do ot chage the results but does affect assumptos UMW Ol & Gas Corporato Berhad Normal Probablty Plot of Retur mu = sgma =.073 Percetles Referece Le Retur(%) Fgure : Hstogram for retur of share prce Retur (%) Fgure 3: Normal probablty plot for retur Table 6: Tests of Normalty Kolmogorov-Smrov a Shapro-Wlk Statstc df Sg. Statstc df Sg. Retur * Fgure 4 s the hstogram for volatlty for share prce of UMW Ol & Gas Corporato Berhad. The mea value s -.46% ad stadard devato are.000. The, Fgure 5 shows ormal probablty plot of retur data for UMW Ol & Gas Corporato Berhad. Both of graphs show a ormal dstrbuto of data. Ths research verfed the fdg wth performg ormalty test of Shapro-Wlk test. Table 7 shows the p-value for Shapro-Wlk test s 0.053, ths value s more tha The dstrbuto of data fals to reject the ull hypothess of Shapro-Wlk test. Therefore, the data dstrbuto for retur s a ormal dstrbuto. I determg the ormalty of data dstrbuto, ths research omtted outlers that do ot chage the results but does affect assumptos. 6

14 Cout Normal Percetles Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage UMW Ol & Gas Corporato Berhad Normal Probablty Plot of Volatlty mu = sgma = Percetles Referece Le Volatlty Fgure 4: Hstogram for volatlty of share prce Volatlty Fgure 5: Normal probablty plot for volatlty Table 7: Tests of Normalty Kolmogorov-Smrov a Shapro-Wlk Statstc df Sg. Statstc df Sg. Volatlty Correlato aalyss betwee retur ad volatlty usg Pearso correlato aalyss I ths secto, ths research shows the correlato result betwee retur ad volatlty for three compaes whch are Westports Holdgs Berhad (Hgh retur compay), Matrx Cocepts Holdgs Berhad (Low retur compay) ad UMW Ol & Gas Corporato Berhad (egatve retur compay). a. Westports Holdgs Berhad Fgure 6 shows the correlato aalyss betwee retur ad volatlty of share prce for Westports Holdg Berhad. Ths compay s selected as oe of the compaes that cotrbute the hgh retur for every share prce. The data Fgure 6 s ftted to a lear relatoshp. Therefore, the lear ft le for ths graph s descrbed Equato (). Retur = (.0386) [Volatlty] () A Pearso product-momet correlato was ru to determe the relatoshp betwee volatlty ad retur for the share prce log term performace. Table 0 shows the result of Pearso correlato aalyss. The p-value of correlato s Ths value rejected the ull hypothess of Perso correlato aalyss. Therefore, there s a sgfcat correlato betwee volatlty ad retur for the share prce log term performace. Next, the Pearso s correlato coeffcet, r, s Ths value mples there s a strog postve assocato betwee volatlty ad retur for the share prce log term performace. As a cocluso, there was a strog, postve correlato betwee volatlty ad retur for share prce log-term performace, whch was statstcally sgfcat (r =.987, = 5, p =.000). 6

15 Retur (%) Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage Westports Holdg Berhad Volatlty Fgure 6: Correlatos aalyss of volatlty ad retur for UMW Ol & Gas Corporato Berhad Table 8: Pearso Correlato Test Volatlty Retur Pearso Correlato.987 Sg. (-taled).000 N 5 a. Matrx Cocepts Holdgs Berhad Fgure 6 shows the correlato aalyss betwee retur ad volatlty of share prce for Westport's Holdg Berhad. Ths compay s selected as oe of the compaes that cotrbute the hgh retur for every share prce. The data Fgure 6 s ftted to a lear relatoshp. Therefore, the lear ft le for ths graph s descrbed Equato (). Retur = (.0748) [Volatlty] () A Pearso product-momet correlato was ru to determe the relatoshp betwee volatlty ad retur for share prce log-term performace. Table 0 shows the result of Pearso correlato aalyss. The p-value of correlato s Ths value rejected the ull hypothess of Perso correlato aalyss. Therefore, there s a sgfcat correlato betwee volatlty ad retur for share prce log-term performace. Next, the Pearso s correlato coeffcet, r, s Ths value mples there s strog postve assocato betwee volatlty ad retur for share prce log-term performace. As a cocluso, there was a strog, postve correlato betwee volatlty ad retur for share prce log-term performace, whch was statstcally sgfcat (r =.968, = 6, p =.000). 63

16 Retur Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage Matrx Cocepts Holdgs Berhad Volatlty Fgure 6: Correlatos aalyss of volatlty ad retur for Matrx Cocepts Holdgs Berhad Table 9: Pearso Correlato Test Volatlty Retur Pearso Correlato.968 Sg. (-taled).000 N 6 a. UMW Ol & Gas Corporato Berhad Fgure 6 shows the correlato aalyss betwee retur ad volatlty of share prce for UMW Ol & Gas Corporato Berhad. Ths compay s selected as oe of the compaes that cotrbute the egatve retur for the share prce. The data Fgure 6 s ft to a lear relatoshp. Therefore, the lear ft le for ths graph s descrbed Equato (3). Retur = (.0336) [Volatlty] (3) A Pearso product-momet correlato was ru to determe the relatoshp betwee volatlty ad retur for the share prce log-term performace. Table 0 shows the result of Pearso correlato aalyss. The p-value of correlato s Ths value rejected the ull hypothess of Perso correlato aalyss. Therefore, there s a sgfcat correlato betwee volatlty ad retur for the share prce log-term performace. Next, the Pearso s correlato coeffcet, r, s Ths value mples there s a strog postve assocato betwee volatlty ad retur for the share prce logterm performace. As a cocluso, there was a strog, postve correlato betwee volatlty ad retur for share prce log-term performace, whch was statstcally sgfcat (r =.963, =, p =.000). 64

17 Retur (%) Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage 0 UMW Ol & Gas Corporato Berhad Volatlty Fgure 6: Correlatos aalyss of volatlty ad retur for UMW Ol & Gas Corporato Berhad Table 0: Correlatos aalyss Volatlty Retur Pearso Correlato.963 Sg. (-taled).000 N 4. Cocluso Ths research s focused o the log-term performace of share prce for compaes lsted the year of 03. All of these compaes fulfll the requremet as Shara-complat Compay. The objectve of ths research s to determe the log-term performace of share prce accordg to market adjusted buy ad hold retur (MABHR) method ad correlato aalyss. Ths research s focusg o three compaes whch are Westports Holdgs Berhad s selected amog compaes wth hgh retur level, ABM Fujya Berhad s selected amog compaes wth low retur level, ad UMW Ol & Gas Corporato Berhad s selected amog compaes wth egatve retur level. The ma fdgs of ths research are: () The calculato for MABHR s performed for 0 compaes that ssue tal publc offergs the year of 03. Sold Automotve Berhad gves the hghest rate of retur wth respect to market. Meawhle, UMW Ol & Gas Corporato Berhad shows the lowest rate of retur wth respect to the market. () The data dstrbuto for retur ad volatlty of Westport Holdgs Berhad are followg the ormal dstrbuto. There was a strog, postve correlato betwee volatlty ad retur for the share prce log-term performace, whch was statstcally sgfcat (r =.987, = 5, p =.000). () The data dstrbuto for retur ad volatlty of Matrx Cocepts Holdgs Berhad are followg the ormal dstrbuto. There was a strog, postve correlato betwee volatlty ad retur for share prce log-term performace, whch was statstcally sgfcat (r =.968, = 6, p =.000). (v) The data dstrbuto for retur ad volatlty of UMW Ol & Gas Corporato Berhad are followg the ormal dstrbuto. There was a strog, postve correlato betwee volatlty ad retur for share prce log-term performace, whch was statstcally sgfcat (r =.963, =, p =.000). The fdg of ths research helps ecoomsts to uderstad the market tred emprcal thkg. I addto, t also helps the vestors to uderstad the market ad make the rght decso vestg durg ths challegg stuato. 65

18 Nashrah Abu Bakar, Sofa Rosb Robust Statstcal Aalyss of Log Term Performace for Shara-complat compaes Malaysa Stock Exchage 4. Further research The further research of ths research wll look to the determat factors that cotrbute to the volatlty of share prce for the compay lsted o Malaysa Stock Exchage. Refereces Abu Bakar, N. ad Rosb, S. (06) Log Term Performace of Islamc Share Prce for Ital Publc Offergs (IPOs) Malaysa: Evdece from Shara-Complat Compaes Lsted o the Malaysa Stock Exchage (006-00), Iteratoal Joural of Maagemet Scece ad Busess Admstrato, Vol., Iss. 6, pp Ahmad Zaluk, N. A, Campbell, K. ad Goodacre, A. (007) The Log Ru Share Prce Performace of Malaysa Ital Publc Offergs (IPOs) Joural of Busess ad Accoutg, Vol. 34, No., pp. 78 0, CrossRef Ahmad-Zaluk, N.A. ad Boo Kect, L., (0), The vestmet performace of MESDAQ market Ital Publc Offergs (IPOs) Asa Academy of Maagemet Joural of Accoutg ad Face, Vol. 8, No., pp. -3 Beckett, S. ad Sello, G. (989), Has facal market volatlty creased?, Ecoomc Revew, May/Jue, No. 3, pp Boovorachote, T. ad Lakmas, K. (06) Prce volatlty, tradg volume, ad market depth Asa commodty futures exchages, Kasetsart Joural of Socal Scece, Vol. 37, Iss., pp , CrossRef Che, C. ad Wag,., (06), The mpact of the reputato of uderwrter ad sposorg represetatve o IPO uderwrtg fees, Cha Face Revew Iteratoal, Vol. 6 Iss. 4 pp , CrossRef Corhay, A., Teo, S. ad Rad, A.T. (00), The log ru performace of Malaysa tal publc offergs (IPO): value ad growth effects, Maageral Face, Vol. 8 Iss. pp. 5 65, CrossRef Che, A., Che, L.W. ad Kao, L. (00), Leverage, lqudty ad IPO log-ru performace: evdece from Tawa IPO markets, Iteratoal Joural of Accoutg & Iformato Maagemet, Vol. 8 Iss. pp.3 38, CrossRef Drobetz, W., Kammerma, M. ad Walchle, U. (005) Lo ru performace of Ital Publc Offergs: The evdece for Swtzerlad, Schmalebach Busess Revew, Vol. 57, pp Dara, E.H. (0) Corporate Goverace, IPO (Ital Publc Offerg) Log Term Retur Malaysa, 0 Iteratoal Coferece o Ecoomcs, Busess ad Marketg Maagemet, Sgapore, Vol. 9 Escobar, D. ad Serrao, A., (06), Reducg asymmetrc formato veture captal backed IPOs, Maageral Face, Vol. 4 Iss. 6 pp , CrossRef Floros, C. ad Erque Salvador, E (06)," Volatlty, tradg volume ad ope terest futures markets, Iteratoal Joural of Maageral Face, Vol. Iss 5 pp , CrossRef Faff, R.W. ad McKeze, M.D., (007), The relatoshp betwee mpled volatlty ad autocorrelato, Iteratoal Joural of Maageral Face, Vol. 3 Iss. pp. 9 96, CrossRef Goerge, M., Khurshed, A. ad Mudamb R., (007), The log-ru performace of UK IPOs: ca t be predcted?, Maageral Face, Vol. 33 Iss. 6 pp , CrossRef He, L., Cordero, J.J. ad Shaw, T.S., (05), CEO power, equty owershp ad uderwrter reputato as determats of lockup perod legth, Maagemet Research Revew, Vol. 38 Iss. 5 pp , CrossRef Islam, A., Al, R., & Ahmad, Z. (00), A Emprcal Ivestgato of the Uderprcg of Ital Publc Offergs the Chttagog Stock Exchage. Iteratoal Joural of Ecoomcs ad Face, (4) 36 46, CrossRef Ismal, R. (00), Volatlty of the returs ad expected losses of Islamc bak facg, Iteratoal Joural of Islamc ad Mddle Easter Face ad Maagemet, Vol. 3 Iss 3 pp , CrossRef Kool, M. ad Suret, J. (004), The aftermarket performace of tal publc offergs Caada, Joural of Facal Maagemet. Vol. 4, pp , CrossRef Ta,. ad Floros, C. (0), Stock market volatlty ad bak performace Cha, Studes Ecoomcs ad Face, Vol. 9 Iss 3 pp. 8, CrossRef 66