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 (KZSE) 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...
| Main Authors: | , , |
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| Format: | Article |
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Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/37409/ |
| _version_ | 1848848600773165056 |
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| author | Soon, Siew-Voon Baharumshah, Ahmad Zubaidi Chan, Tze-Haw |
| author_facet | Soon, Siew-Voon Baharumshah, Ahmad Zubaidi Chan, Tze-Haw |
| author_sort | Soon, Siew-Voon |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study revisits the efficient market hypothesis (EMH) with regard to the Kuala Lumpur Stock Exchange (KZSE) 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. |
| first_indexed | 2025-11-15T09:37:05Z |
| format | Article |
| id | upm-37409 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T09:37:05Z |
| publishDate | 2014 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-374092023-09-27T08:06:23Z http://psasir.upm.edu.my/id/eprint/37409/ Efficiency market hypothesis in an emerging market: does it really hold for Malaysia? Soon, Siew-Voon Baharumshah, Ahmad Zubaidi Chan, Tze-Haw This study revisits the efficient market hypothesis (EMH) with regard to the Kuala Lumpur Stock Exchange (KZSE) 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 Soon, Siew-Voon and Baharumshah, Ahmad Zubaidi and Chan, Tze-Haw (2014) Efficiency market hypothesis in an emerging market: does it really hold for Malaysia? Jurnal Pengurusan, 42. pp. 31-42. ISSN 0127-2713; ESSN: 2716-5906 https://www.ukm.my/jurnalpengurusan/article/efficiency-market-hypothesis-in-an-emerging-market-does-it-really-hold-for-malaysia/ |
| spellingShingle | Soon, Siew-Voon Baharumshah, Ahmad Zubaidi Chan, Tze-Haw 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://psasir.upm.edu.my/id/eprint/37409/ http://psasir.upm.edu.my/id/eprint/37409/ |