Determinants of stock returns during market crash on Malaysian public listed companies / Nur Shila Abdul Rashid

The purpose of this study is to investigate the determinants of stock returns during the stock market crash in Malaysia. This study is scoped out to only 104 public listed companies in Malaysia. The sample is selected randomly based on simple random sampling method. The 104 companies are selected from various sectors such as consumer products, industrial products, construction, trading /services, plantations, Real Estates Investment Trust (REITS) and properties. The stock returns is the dependent variable while beta, firm size, market to book value ratio and price earnings ratio have been chosen as explanatory variables in this study. The data for each company are collected on monthly basis from July 2007 until December 2008.The data then being analyzed using Eviews 7.0 software. Multiple regressions and several tests have been carried out to obtain the result for this study. Based on the findings, there are only three explanatory variables which are beta, market to book value ratio and price earnings ratio that are found to be significant towards stock returns. Another explanatory variable which is firm size is insignificant. In short, three variables are significant in determining stock returns during stock market crash while another variable is insignificant for the period of July 2007 until December 2008