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Testing market efficiency in Malaysia's large, medium and small stock market indices

As if random walk does not exist and the market is inefficient in weak form, then technical analysis used by technical analysts would grant them profitability. Therefore, it is crucial to determine whether the securities or the market price follow random walk or not. This paper examines whether Mala...

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主要作者: Heng, Cheat Yee
格式: Thesis
語言:English
English
English
English
出版: 2020
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HG Finance
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spelling my.uum.etd.104092023-03-15T02:48:03Z https://etd.uum.edu.my/10409/ Testing market efficiency in Malaysia's large, medium and small stock market indices Heng, Cheat Yee HG Finance As if random walk does not exist and the market is inefficient in weak form, then technical analysis used by technical analysts would grant them profitability. Therefore, it is crucial to determine whether the securities or the market price follow random walk or not. This paper examines whether Malaysia large, medium and small stock market indices are efficient and follow random walk or not. Daily and weekly return series from 31st October 2014 to 31st October 2019 are collected and analysed by using the Bloomberg Terminal. KLCI, FBM70, FBMSC and MESDAQ are proxy as the stock market indices with different categories of capitalizations. In order to examine the existence of random walk and market efficiency, multiple tests are used to achieve the research objective where are normality test, autocorrelation test, run test, unit root tests and the variance ratio test. The result finding indicates that in overall, despite of different size of stock market exhibits different characteristics, all the four examined stock market indices or benchmark with different categories of capitalization are not likely to follow random walk according to the empirical evidence. Therefore, we can conclude that Malaysia large, medium and small capitalization stock market indices do not follow random walk and are inefficient in weak form market efficiency. The stock market might be predictable and so there might be feasibility to take advantage of the price movement. Therefore, it is feasible for investors and traders to earn abnormal return in Malaysia stock market by utilizing the historical information. 2020 Thesis NonPeerReviewed text en https://etd.uum.edu.my/10409/1/depositpermission-not%20allow_s825513.pdf text en https://etd.uum.edu.my/10409/2/s825513_01.pdf text en https://etd.uum.edu.my/10409/3/s825513_02.pdf text en https://etd.uum.edu.my/10409/4/references_s825513.docx Heng, Cheat Yee (2020) Testing market efficiency in Malaysia's large, medium and small stock market indices. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
English
English
topic HG Finance
spellingShingle HG Finance
Heng, Cheat Yee
Testing market efficiency in Malaysia's large, medium and small stock market indices
description As if random walk does not exist and the market is inefficient in weak form, then technical analysis used by technical analysts would grant them profitability. Therefore, it is crucial to determine whether the securities or the market price follow random walk or not. This paper examines whether Malaysia large, medium and small stock market indices are efficient and follow random walk or not. Daily and weekly return series from 31st October 2014 to 31st October 2019 are collected and analysed by using the Bloomberg Terminal. KLCI, FBM70, FBMSC and MESDAQ are proxy as the stock market indices with different categories of capitalizations. In order to examine the existence of random walk and market efficiency, multiple tests are used to achieve the research objective where are normality test, autocorrelation test, run test, unit root tests and the variance ratio test. The result finding indicates that in overall, despite of different size of stock market exhibits different characteristics, all the four examined stock market indices or benchmark with different categories of capitalization are not likely to follow random walk according to the empirical evidence. Therefore, we can conclude that Malaysia large, medium and small capitalization stock market indices do not follow random walk and are inefficient in weak form market efficiency. The stock market might be predictable and so there might be feasibility to take advantage of the price movement. Therefore, it is feasible for investors and traders to earn abnormal return in Malaysia stock market by utilizing the historical information.
format Thesis
author Heng, Cheat Yee
author_facet Heng, Cheat Yee
author_sort Heng, Cheat Yee
title Testing market efficiency in Malaysia's large, medium and small stock market indices
title_short Testing market efficiency in Malaysia's large, medium and small stock market indices
title_full Testing market efficiency in Malaysia's large, medium and small stock market indices
title_fullStr Testing market efficiency in Malaysia's large, medium and small stock market indices
title_full_unstemmed Testing market efficiency in Malaysia's large, medium and small stock market indices
title_sort testing market efficiency in malaysia's large, medium and small stock market indices
publishDate 2020
url https://etd.uum.edu.my/10409/1/depositpermission-not%20allow_s825513.pdf
https://etd.uum.edu.my/10409/2/s825513_01.pdf
https://etd.uum.edu.my/10409/3/s825513_02.pdf
https://etd.uum.edu.my/10409/4/references_s825513.docx
https://etd.uum.edu.my/10409/
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score 13.251813

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