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Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia

The lead-lag effect between stock index futures and stock index has attracted the interest of finance researchers to identify the factors that contributed to the phenomenon. Stock index futures play an important role in the price discovery process since it leads the stock index in responding to new...

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Main Author: Noor Azuddin Yakob,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2005
Online Access:http://journalarticle.ukm.my/1761/1/Jp24-02.pdf
http://journalarticle.ukm.my/1761/
http://www.ukm.my/penerbit/jurus.htm
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spelling my-ukm.journal.17612016-12-14T06:30:11Z http://journalarticle.ukm.my/1761/ Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia Noor Azuddin Yakob, The lead-lag effect between stock index futures and stock index has attracted the interest of finance researchers to identify the factors that contributed to the phenomenon. Stock index futures play an important role in the price discovery process since it leads the stock index in responding to new information. This is associated with the problem of stale prices due to the infrequent trading of some inactive component stocks. This paper investigates the influence of infrequent trading towards the existence of lead-lag effect in Malaysia. The result shows that the Composite Index futures contract did not only lead the inactive component stocks but also the active stocks. Such findings contradict the proposed theory because the lead-lag effect prevails among both active and inactive component stocks. Therefore, this study shows that the issue of infrequent trading does not contribute towards the existence of lead-lag effect between stock index futures and stock index in Malaysia Penerbit Universiti Kebangsaan Malaysia 2005-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1761/1/Jp24-02.pdf Noor Azuddin Yakob, (2005) Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia. Jurnal Pengurusan, 24 . pp. 27-46. ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description The lead-lag effect between stock index futures and stock index has attracted the interest of finance researchers to identify the factors that contributed to the phenomenon. Stock index futures play an important role in the price discovery process since it leads the stock index in responding to new information. This is associated with the problem of stale prices due to the infrequent trading of some inactive component stocks. This paper investigates the influence of infrequent trading towards the existence of lead-lag effect in Malaysia. The result shows that the Composite Index futures contract did not only lead the inactive component stocks but also the active stocks. Such findings contradict the proposed theory because the lead-lag effect prevails among both active and inactive component stocks. Therefore, this study shows that the issue of infrequent trading does not contribute towards the existence of lead-lag effect between stock index futures and stock index in Malaysia
format Article
author Noor Azuddin Yakob,
spellingShingle Noor Azuddin Yakob,
Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia
author_facet Noor Azuddin Yakob,
author_sort Noor Azuddin Yakob,
title Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia
title_short Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia
title_full Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia
title_fullStr Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia
title_full_unstemmed Pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di Malaysia
title_sort pengaruh kekerapan dagangan terhadap kesan pimpin-lengah antara pasaran niagaan kedepan dengan indeks saham di malaysia
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2005
url http://journalarticle.ukm.my/1761/1/Jp24-02.pdf
http://journalarticle.ukm.my/1761/
http://www.ukm.my/penerbit/jurus.htm
_version_ 1643735143420002304
score 13.211869

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