Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?

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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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Bibliographic Details
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/ http://journalarticle.ukm.my/9408/1/9208-27640-1-PB.pdf

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