Kong, Evelyn Yee Foon
(2026)
IPO market performance and multi-dimensional market sentiment : evidence from Malaysia’s short-run, long-run, and regulatory changes perspectives.
PhD thesis, University of Nottingham.
Abstract
This study constructs a multi-dimensional Malaysian IPO Market Sentiment Index based on aggregated sentiment proxies spanning firm-specific, market-level, and macroeconomic dimensions. It investigates how this sentiment index explains IPO market performance in Malaysia through 3 key lenses: short-run share performance, long-run share performance, and the impact of regulatory changes.
Using a dataset of 571 IPOs listed on Bursa Malaysia from January 2000 to December 2020, the study measures short-run share performance via initial returns, and long-run share performance using cumulative average abnormal returns, buy-and-hold abnormal returns, and wealth relatives. Multiple regression models, interaction effects, binary regression models, and marginal probability analysis are employed to examine the relationships between market sentiment, fundamental factors, and IPO outcomes. Findings reveal that IPOs are significantly underpriced in the short-run, with offer price, oversubscription ratio, board listing, and hot issue market conditions as key determinants. Market sentiment plays a limited role in short-run share performance of IPO but interacts with several issue- and market-specific variables, suggesting that market sentiment effects are conditional rather than dominant during initial trading. In contrast, market sentiment significantly influences IPO’s long-run share performance. Behavioural factors, investor expectations, and market volatility become more relevant as firms transition into the post-listing phase. These results align with Shiller’s (1990) fads theory, which explains how investor over-optimism leads to mispricing that is eventually corrected over time. Additionally, the study also analyses the role of market sentiment and price-earnings (PE) towards IPO underpricing during regulatory changes. Quantile regression results show that sentiment influences are significantly stronger at higher PE quantiles, indicating that high-PE IPOs are more exposed to overvaluation risk during periods of heightened optimism or volatility. Additionally, comparative analysis between the pre- and post-2009 periods reveals a shift from sentiment-driven IPO valuations to more fundamental-based pricing under the disclosure-based regulatory framework.
This study contributes to the IPO literature by introducing a multi-dimensional market sentiment index tailored to Malaysia’s IPO context. It offers practical implications for investors seeking better timing strategies and for regulators aiming to distinguish between sentiment-driven and fundamental valuations. Overall, the study underscores the evolving role of market sentiment in IPO markets and its interaction with regulatory frameworks.
| Item Type: |
Thesis (University of Nottingham only)
(PhD)
|
| Supervisors: |
Tang, Kin Boon
Lee, Ken
Tan, Chee Meng |
| Keywords: |
IPO market; market sentiment; behavioural finance |
| Subjects: |
H Social sciences > HB Economic theory |
| Faculties/Schools: |
University of Nottingham, Malaysia > Faculty of Arts and Social Sciences > Nottingham University Business School |
| Item ID: |
81708 |
| Depositing User: |
Kong, Yee
|
| Date Deposited: |
07 Feb 2026 04:40 |
| Last Modified: |
07 Feb 2026 04:40 |
| URI: |
https://eprints.nottingham.ac.uk/id/eprint/81708 |
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