Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
This study revisits the efficient market hypothesis (EMH) with regard to the Kuala Lumpur Stock Exchange (KLSE) at the sectoral level. Based on Liu and Narayan’s (2011) GARCH-based unit-root with structural breaks test, the unit-root null is rejected for all except one sector. By contrast, models ba...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://journalarticle.ukm.my/9408/1/9208-27640-1-PB.pdf http://journalarticle.ukm.my/9408/ http://ejournal.ukm.my/pengurusan/issue/view/614 |
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