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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: Siew, Voon Soon, Ahmad Zubaidi Baharumshah,, Tze, Haw Chan
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2014
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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spelling my-ukm.journal.94082016-12-14T06:49:50Z http://journalarticle.ukm.my/9408/ Efficiency market hypothesis in an emerging market: does it really hold for Malaysia? Siew, Voon Soon Ahmad Zubaidi Baharumshah, Tze, Haw Chan 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 based on commonly used unit-root tests that ignore heteroskedastic and/or breaks tend to favour the EMH. We find that the half-life estimates based on the local-persistent model are short, with the majority of them taking less than six months to absorb half a shock. All in all, the indices examined are largely inconsistent with weak-form efficiency, which implies that the returns on equity portfolios are indeed predictable. Penerbit Universiti Kebangsaan Malaysia 2014 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9408/1/9208-27640-1-PB.pdf Siew, Voon Soon and Ahmad Zubaidi Baharumshah, and Tze, Haw Chan (2014) Efficiency market hypothesis in an emerging market: does it really hold for Malaysia? Jurnal Pengurusan, 42 . pp. 31-42. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/614
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 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 based on commonly used unit-root tests that ignore heteroskedastic and/or breaks tend to favour the EMH. We find that the half-life estimates based on the local-persistent model are short, with the majority of them taking less than six months to absorb half a shock. All in all, the indices examined are largely inconsistent with weak-form efficiency, which implies that the returns on equity portfolios are indeed predictable.
format Article
author Siew, Voon Soon
Ahmad Zubaidi Baharumshah,
Tze, Haw Chan
spellingShingle Siew, Voon Soon
Ahmad Zubaidi Baharumshah,
Tze, Haw Chan
Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
author_facet Siew, Voon Soon
Ahmad Zubaidi Baharumshah,
Tze, Haw Chan
author_sort Siew, Voon Soon
title Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
title_short Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
title_full Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
title_fullStr Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
title_full_unstemmed Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
title_sort efficiency market hypothesis in an emerging market: does it really hold for malaysia?
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2014
url http://journalarticle.ukm.my/9408/1/9208-27640-1-PB.pdf
http://journalarticle.ukm.my/9408/
http://ejournal.ukm.my/pengurusan/issue/view/614
_version_ 1643737786664091648
score 13.211869

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