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Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques

Author

Listed:
  • Swastika, Putri
  • Dewandaru, Ginanjar
  • Masih, Mansur

Abstract

Mansur Masih3 Abstract This research studies the benefit of the practice of Restricted Short Selling (RSS) on the Islamic stocks. Benefit is defined as the influence of the application of RSS on the stock returns and ultimately, on the market. Malaysia is used as a case study. Using dynamic heterogeneous panel techniques, it is found that RSS brings long-term positive influence on the stocks. However, panel Granger causality analysis implied that it is indeed stock return which causes RSS, not the other way around. Henceforth, our findings tend to suggest to the policy makers, to revisit the permissibility of RSS in the Malaysian Islamic capital market (ICM). Moving forward, instead of having restricted short selling, a vibrant Islamic capital market should promote risk sharing instruments coupled with strengthened information dissemination.

Suggested Citation

  • Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur, 2013. "Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques," MPRA Paper 58833, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58833
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    More about this item

    Keywords

    Restricted Short Selling; Stock Returns; Islamic Capital Market; Pooled- Mean Group; Johansen Fisher Panel Cointegration; Panel Granger Causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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