Determinants of Malaysian stock returns in oil and gas industry

• Main Author: Nur Farhana, Abd Aziz
• Format: Thesis
• Language: English; English
• Published: 2016
• Subjects: HG Finance
• Online Access: https://etd.uum.edu.my/6053/1/s813846_01.pdf; https://etd.uum.edu.my/6053/2/s813846_02.pdf; https://etd.uum.edu.my/6053/

This research paper documents the determinants of Malaysian stock return in oil and gas industry by eight factors that influence the stock return namely dividend-price ratio, earningsprice ratio, price-to-book ratio, asset growth, company size, capital structure, unsystematic risk, and systematic risk using Pearson Correlation analysis and Standard Multiple Regression analysis model in the Malaysia stock market (Bursa Malaysia). The existence of these relationships is examined in terms of fourteen oil and gas public companies in Malaysia that are listed in Bursa Malaysia Berhad, and their performance throughout a recent five consecutive years (2010-2014). Through Pearson Correlation analysis, the researcher reports a strong relationship and high significance level between asset growth and stock return; capital structure and stock return; and price-to-book ratio and stock return. While a weak relationship and low significance level between systematic risk and stock return; unsystematic risk and stock return; company size and stock return. Capital structure and unsystematic risk are variables that have inverse relationship with stock return while other variables indicate positive relationship with stock return. Overall, asset growth shows the highest significance level and variance in stock return while the systematic risk shows the lowest significance level and variance in stock return. Through Standard Multiple Regression analysis, dividend-price ratio, earnings-price ratio, price-to-book ratio, asset growth, and capital structure correlate substantially with stock return. The Durbin-Watson statistics reports the existence of positive serial correlation, significant difference and small effect size in the study. Asset growth reports the strongest unique contribution variable in explaining the stock return.