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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| Format: | Article |
| Language: | en |
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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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| author | Siew, Voon Soon Ahmad Zubaidi Baharumshah, Tze, Haw Chan |
| author_facet | Siew, Voon Soon Ahmad Zubaidi Baharumshah, Tze, Haw Chan |
| author_sort | Siew, Voon Soon |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| 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 |
| id | my-ukm.journal-9408 |
| institution | Universiti Kebangsaan Malaysia |
| language | en |
| publishDate | 2014 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | eprints |
| 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 |
| spellingShingle | Siew, Voon Soon Ahmad Zubaidi Baharumshah, Tze, Haw Chan Efficiency market hypothesis in an emerging market: does it really hold for Malaysia? |
| title | 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_short | 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? |
| 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 |
| url_provider | http://journalarticle.ukm.my/ |