Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange
This study utilizes the windowed-test procedure of Hinich and Patterson (1995) to examine the data generating process of KLSE CI returns series. Unlike previous studies, the present one relates the evidence to the popular weak-form EMH and behavioural finance, with the hope of offering some plausib...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Munich University Library
2003
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18603/ http://ir.unimas.my/id/eprint/18603/7/Weak-form%20Efficient%20Market%20Hypothesis%20%28abstract%29.pdf |
| _version_ | 1848838547557056512 |
|---|---|
| author | Lim, Kian-Ping Liew, Venus Khim-Sen Wong, Hock-Tsen |
| author_facet | Lim, Kian-Ping Liew, Venus Khim-Sen Wong, Hock-Tsen |
| author_sort | Lim, Kian-Ping |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study utilizes the windowed-test procedure of Hinich and Patterson (1995) to examine the data generating process of KLSE CI returns series. Unlike previous studies, the present one relates the evidence to the popular weak-form EMH and
behavioural finance, with the hope of offering some plausible explanations to the controversy arises between these two camps. Our econometrics results indicate that linear and non-linear dependencies play a significant role in the underlying
data generating process. However, these dependencies are not stable as the results suggest that they are episodic and transient in nature. Along the line of our interpretations, we are able to offer some plausible explanations as to why weakform EMH generally holds in KLSE, though the presence of linear and non-linear dependencies implies the potential of returns predictability. Specifically, these significant dependencies show up at random intervals for a brief period of time but then disappear again before they can be exploited by investors. Looking from a micro perspective, we are able to rationalize the co-existence of weak-form EMH and behavioural finance in KLSE when the statistical properties of random
walk, linear and non-linear dependencies, which also co-exist in the time domain, are interpreted in the framework of information arrival and market reactions to that information. |
| first_indexed | 2025-11-15T06:57:17Z |
| format | Article |
| id | unimas-18603 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:17Z |
| publishDate | 2003 |
| publisher | Munich University Library |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-186032017-11-27T02:10:01Z http://ir.unimas.my/id/eprint/18603/ Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange Lim, Kian-Ping Liew, Venus Khim-Sen Wong, Hock-Tsen HB Economic Theory This study utilizes the windowed-test procedure of Hinich and Patterson (1995) to examine the data generating process of KLSE CI returns series. Unlike previous studies, the present one relates the evidence to the popular weak-form EMH and behavioural finance, with the hope of offering some plausible explanations to the controversy arises between these two camps. Our econometrics results indicate that linear and non-linear dependencies play a significant role in the underlying data generating process. However, these dependencies are not stable as the results suggest that they are episodic and transient in nature. Along the line of our interpretations, we are able to offer some plausible explanations as to why weakform EMH generally holds in KLSE, though the presence of linear and non-linear dependencies implies the potential of returns predictability. Specifically, these significant dependencies show up at random intervals for a brief period of time but then disappear again before they can be exploited by investors. Looking from a micro perspective, we are able to rationalize the co-existence of weak-form EMH and behavioural finance in KLSE when the statistical properties of random walk, linear and non-linear dependencies, which also co-exist in the time domain, are interpreted in the framework of information arrival and market reactions to that information. Munich University Library 2003 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18603/7/Weak-form%20Efficient%20Market%20Hypothesis%20%28abstract%29.pdf Lim, Kian-Ping and Liew, Venus Khim-Sen and Wong, Hock-Tsen (2003) Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange. Munich Personal RePEc Archive. pp. 1-26. ISSN 2285-6803 http://econwpa.repec.org/eps/fin/papers/0312/0312012.pdf |
| spellingShingle | HB Economic Theory Lim, Kian-Ping Liew, Venus Khim-Sen Wong, Hock-Tsen Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange |
| title | Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange |
| title_full | Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange |
| title_fullStr | Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange |
| title_full_unstemmed | Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange |
| title_short | Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies The Case of the Kuala Lumpur Stock Exchange |
| title_sort | weak-form efficient market hypothesis, behavioural finance and episodic transient dependencies the case of the kuala lumpur stock exchange |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18603/ http://ir.unimas.my/id/eprint/18603/ http://ir.unimas.my/id/eprint/18603/7/Weak-form%20Efficient%20Market%20Hypothesis%20%28abstract%29.pdf |