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Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices

In this paper, we examine the weak-form market efficiency for Malaysian sectoral stock market for the years 1996 to 2006. We focus on the random walk test under the structural change triggered by the Asian financial crisis and the drastic currency control by the Malaysian government. Our empirica...

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Main Authors: Chin , Wen Cheong, Zaidi Isa,, Abu Hassan Shaari Mohd Nor ,
Format: Article
Published: Penerbit ukm 2008
Online Access:http://journalarticle.ukm.my/1865/
http://www.ukm.my/~ppsmfst/jqma/index.html
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spelling my-ukm.journal.18652011-06-15T07:24:16Z http://journalarticle.ukm.my/1865/ Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices Chin , Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor , In this paper, we examine the weak-form market efficiency for Malaysian sectoral stock market for the years 1996 to 2006. We focus on the random walk test under the structural change triggered by the Asian financial crisis and the drastic currency control by the Malaysian government. Our empirical results evidence a sharp contrast with the results based on the traditional unit-root test which does not take into account the effect of economic crisis. With these empirical findings, we conclude that the Malaysian stock markets are dominated by mean-reverting processes (except for Property index) under the structural change Penerbit ukm 2008-07 Article PeerReviewed Chin , Wen Cheong and Zaidi Isa, and Abu Hassan Shaari Mohd Nor , (2008) Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices. Journal of Quality Measurement and Analysis, 4 (1). pp. 179-188. ISSN 1823-5670 http://www.ukm.my/~ppsmfst/jqma/index.html
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/
description In this paper, we examine the weak-form market efficiency for Malaysian sectoral stock market for the years 1996 to 2006. We focus on the random walk test under the structural change triggered by the Asian financial crisis and the drastic currency control by the Malaysian government. Our empirical results evidence a sharp contrast with the results based on the traditional unit-root test which does not take into account the effect of economic crisis. With these empirical findings, we conclude that the Malaysian stock markets are dominated by mean-reverting processes (except for Property index) under the structural change
format Article
author Chin , Wen Cheong
Zaidi Isa,
Abu Hassan Shaari Mohd Nor ,
spellingShingle Chin , Wen Cheong
Zaidi Isa,
Abu Hassan Shaari Mohd Nor ,
Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
author_facet Chin , Wen Cheong
Zaidi Isa,
Abu Hassan Shaari Mohd Nor ,
author_sort Chin , Wen Cheong
title Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
title_short Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
title_full Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
title_fullStr Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
title_full_unstemmed Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
title_sort pre- and post-economic crisis weak-form market efficiency analysis for malaysian daily stock indices
publisher Penerbit ukm
publishDate 2008
url http://journalarticle.ukm.my/1865/
http://www.ukm.my/~ppsmfst/jqma/index.html
_version_ 1643735180014256128
score 13.211869

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