Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices
In this paper, we examine the weak-form market efficiency for Malaysian sectoral stock market for the years 1996 to 2006. We focus on the random walk test under the structural change triggered by the Asian financial crisis and the drastic currency control by the Malaysian government. Our empirica...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Penerbit ukm
2008
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| Online Access: | http://journalarticle.ukm.my/1865/ |
| _version_ | 1848809679441887232 |
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| author | Chin , Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor , |
| author_facet | Chin , Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor , |
| author_sort | Chin , Wen Cheong |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | In this paper, we examine the weak-form market efficiency for Malaysian sectoral stock
market for the years 1996 to 2006. We focus on the random walk test under the structural
change triggered by the Asian financial crisis and the drastic currency control by the
Malaysian government. Our empirical results evidence a sharp contrast with the results based
on the traditional unit-root test which does not take into account the effect of economic crisis.
With these empirical findings, we conclude that the Malaysian stock markets are dominated by
mean-reverting processes (except for Property index) under the structural change |
| first_indexed | 2025-11-14T23:18:27Z |
| format | Article |
| id | ukm-1865 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T23:18:27Z |
| publishDate | 2008 |
| publisher | Penerbit ukm |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ukm-18652011-06-15T07:24:16Z http://journalarticle.ukm.my/1865/ Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices Chin , Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor , In this paper, we examine the weak-form market efficiency for Malaysian sectoral stock market for the years 1996 to 2006. We focus on the random walk test under the structural change triggered by the Asian financial crisis and the drastic currency control by the Malaysian government. Our empirical results evidence a sharp contrast with the results based on the traditional unit-root test which does not take into account the effect of economic crisis. With these empirical findings, we conclude that the Malaysian stock markets are dominated by mean-reverting processes (except for Property index) under the structural change Penerbit ukm 2008-07 Article PeerReviewed Chin , Wen Cheong and Zaidi Isa, and Abu Hassan Shaari Mohd Nor , (2008) Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices. Journal of Quality Measurement and Analysis, 4 (1). pp. 179-188. ISSN 1823-5670 http://www.ukm.my/~ppsmfst/jqma/index.html |
| spellingShingle | Chin , Wen Cheong Zaidi Isa, Abu Hassan Shaari Mohd Nor , Pre- and post-economic crisis weak-form market efficiency analysis for Malaysian daily stock indices |
| title | Pre- and post-economic crisis weak-form market
efficiency analysis for Malaysian
daily stock indices
|
| title_full | Pre- and post-economic crisis weak-form market
efficiency analysis for Malaysian
daily stock indices
|
| title_fullStr | Pre- and post-economic crisis weak-form market
efficiency analysis for Malaysian
daily stock indices
|
| title_full_unstemmed | Pre- and post-economic crisis weak-form market
efficiency analysis for Malaysian
daily stock indices
|
| title_short | Pre- and post-economic crisis weak-form market
efficiency analysis for Malaysian
daily stock indices
|
| title_sort | pre- and post-economic crisis weak-form market
efficiency analysis for malaysian
daily stock indices |
| url | http://journalarticle.ukm.my/1865/ http://journalarticle.ukm.my/1865/ |