Market reaction to inclusion and exclusion of regulated short selling (RSS) stock in regulated short selling list in Bursa Malaysia : Evidence from Malaysia 2010-2012

The objective of this study is to examine the market reaction towards the listing and delisting of stocks from regulated short selling (RSS) list in Bursa Malaysia (BM) from the research period of 2010 to 2012. A total of 71 stocks have been chosen to list in RSS list in BM and a total of 76 stocks were being removed from RSS list in BM during the research period. Abnormal return (AR), Average Abnormal Return (AAR) and Cumulative Abnormal Return (CAR) were used to examine the market reaction with t-statistic was taken to test the significance of the results. The finding and analysis do not support our prediction of stock prices were stagnant prior to list in RSS list and stock prices would move in an upward trend after it is listed in RSS list in BM. Few journal in regards to the findings that do not support the prediction were studied and were found that opposite outcome from our prediction could be due to private information of stocks to be listed in RSS list prior to the official announcement could possibly leaks to investor that induce speculation on stock investment. Prediction on price movement on stocks to be delisted from RSS list before and after were supported where stock prices were stagnant prior to removal from RSS list and stock price move downward after it is being removed from RSS lis