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Stock market index price prediction using predetermined variables: a case study of Malaysia

The EMH states that security prices fully reflect the available information (Fama, 1970, 1991). The weak-form EMH asserts that security prices already fully reflect the information contained in the history of past trading Stock market efficiency in the weak-form sense has been widely studied and the...

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Main Authors: Qaiser Munir, Sook, ching Kok
Format: Book Chapter
Language:English
Published: 2016
Subjects:
HF Commerce
Online Access:https://eprints.ums.edu.my/id/eprint/20068/1/Stock%20market%20index%20price%20prediction%20using%20predetermined%20variables.pdf
https://eprints.ums.edu.my/id/eprint/20068/
https://doi.org/10.4324/9781315638195
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spelling my.ums.eprints.200682018-05-17T01:30:07Z https://eprints.ums.edu.my/id/eprint/20068/ Stock market index price prediction using predetermined variables: a case study of Malaysia Qaiser Munir Sook, ching Kok HF Commerce The EMH states that security prices fully reflect the available information (Fama, 1970, 1991). The weak-form EMH asserts that security prices already fully reflect the information contained in the history of past trading Stock market efficiency in the weak-form sense has been widely studied and the methodologies being used are various. These include the tests used for assessing the stochastic properties of stock prices and the tests under the rubric of return predictability (Fama, 1991). On return predictability in particular, one strand of the literature attempts to predict the movements of stock prices using predetermined variables, most often by employing the data of macroeconomic variables and commodity prices. 2016 Book Chapter NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/20068/1/Stock%20market%20index%20price%20prediction%20using%20predetermined%20variables.pdf Qaiser Munir and Sook, ching Kok (2016) Stock market index price prediction using predetermined variables: a case study of Malaysia. Information Efficiency and Anomalies in Asian Equity Markets: Theories and Evidence. pp. 49-68. https://doi.org/10.4324/9781315638195
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
topic HF Commerce
spellingShingle HF Commerce
Qaiser Munir
Sook, ching Kok
Stock market index price prediction using predetermined variables: a case study of Malaysia
description The EMH states that security prices fully reflect the available information (Fama, 1970, 1991). The weak-form EMH asserts that security prices already fully reflect the information contained in the history of past trading Stock market efficiency in the weak-form sense has been widely studied and the methodologies being used are various. These include the tests used for assessing the stochastic properties of stock prices and the tests under the rubric of return predictability (Fama, 1991). On return predictability in particular, one strand of the literature attempts to predict the movements of stock prices using predetermined variables, most often by employing the data of macroeconomic variables and commodity prices.
format Book Chapter
author Qaiser Munir
Sook, ching Kok
author_facet Qaiser Munir
Sook, ching Kok
author_sort Qaiser Munir
title Stock market index price prediction using predetermined variables: a case study of Malaysia
title_short Stock market index price prediction using predetermined variables: a case study of Malaysia
title_full Stock market index price prediction using predetermined variables: a case study of Malaysia
title_fullStr Stock market index price prediction using predetermined variables: a case study of Malaysia
title_full_unstemmed Stock market index price prediction using predetermined variables: a case study of Malaysia
title_sort stock market index price prediction using predetermined variables: a case study of malaysia
publishDate 2016
url https://eprints.ums.edu.my/id/eprint/20068/1/Stock%20market%20index%20price%20prediction%20using%20predetermined%20variables.pdf
https://eprints.ums.edu.my/id/eprint/20068/
https://doi.org/10.4324/9781315638195
_version_ 1760229665848426496
score 13.211869

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