Efficient market hypothesis : evidence from asean-5 countries
This study applies a number of univariate unit root tests (conventional unit root tests and Lagrange Multiplier (LM) unit root test with two breaks) for time series data to determine the efficient market hypothesis (EMH) in five ASEAN countries which consists of Indonesia, Malaysia, Philippines,...
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| Format: | Final Year Project Report / IMRAD |
| Language: | English English |
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Universiti Malaysia Sarawak, (UNIMAS)
2011
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| Online Access: | http://ir.unimas.my/id/eprint/6412/ http://ir.unimas.my/id/eprint/6412/1/Yeong%20Der%2824%20pgs%29.pdf http://ir.unimas.my/id/eprint/6412/4/Yeong%20Der%28fulltext%29.pdf |
| _version_ | 1848835912151072768 |
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| author | Wong, Yeong Der |
| author_facet | Wong, Yeong Der |
| author_sort | Wong, Yeong Der |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study applies a number of univariate unit root tests (conventional unit root tests
and Lagrange Multiplier (LM) unit root test with two breaks) for time series data to
determine the efficient market hypothesis (EMH) in five ASEAN countries which
consists of Indonesia, Malaysia, Philippines, Thailand and Singapore. The daily
closing price spanning from January 2, 1997 until December 31, 2010 for each of the
countries is utilized the stationarity tests. The study found that both the conventional
unit root tests and LM unit root test with two breaks failed to reject the random walk
hypothesis. This implies all the tested stock markets are non-stationary and efficient
under weak form hypothesis. On the other hand, the break dates detected
endogenously under LM unit root test occur around the actual market crash date. |
| first_indexed | 2025-11-15T06:15:24Z |
| format | Final Year Project Report / IMRAD |
| id | unimas-6412 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-15T06:15:24Z |
| publishDate | 2011 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-64122024-08-23T07:58:58Z http://ir.unimas.my/id/eprint/6412/ Efficient market hypothesis : evidence from asean-5 countries Wong, Yeong Der HB Economic Theory HG Finance This study applies a number of univariate unit root tests (conventional unit root tests and Lagrange Multiplier (LM) unit root test with two breaks) for time series data to determine the efficient market hypothesis (EMH) in five ASEAN countries which consists of Indonesia, Malaysia, Philippines, Thailand and Singapore. The daily closing price spanning from January 2, 1997 until December 31, 2010 for each of the countries is utilized the stationarity tests. The study found that both the conventional unit root tests and LM unit root test with two breaks failed to reject the random walk hypothesis. This implies all the tested stock markets are non-stationary and efficient under weak form hypothesis. On the other hand, the break dates detected endogenously under LM unit root test occur around the actual market crash date. Universiti Malaysia Sarawak, (UNIMAS) 2011 Final Year Project Report / IMRAD NonPeerReviewed text en http://ir.unimas.my/id/eprint/6412/1/Yeong%20Der%2824%20pgs%29.pdf text en http://ir.unimas.my/id/eprint/6412/4/Yeong%20Der%28fulltext%29.pdf Wong, Yeong Der (2011) Efficient market hypothesis : evidence from asean-5 countries. [Final Year Project Report / IMRAD] (Unpublished) |
| spellingShingle | HB Economic Theory HG Finance Wong, Yeong Der Efficient market hypothesis : evidence from asean-5 countries |
| title | Efficient market hypothesis : evidence from asean-5 countries |
| title_full | Efficient market hypothesis : evidence from asean-5 countries |
| title_fullStr | Efficient market hypothesis : evidence from asean-5 countries |
| title_full_unstemmed | Efficient market hypothesis : evidence from asean-5 countries |
| title_short | Efficient market hypothesis : evidence from asean-5 countries |
| title_sort | efficient market hypothesis : evidence from asean-5 countries |
| topic | HB Economic Theory HG Finance |
| url | http://ir.unimas.my/id/eprint/6412/ http://ir.unimas.my/id/eprint/6412/1/Yeong%20Der%2824%20pgs%29.pdf http://ir.unimas.my/id/eprint/6412/4/Yeong%20Der%28fulltext%29.pdf |