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01206 am a22001453u 4500 |
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9408 |
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|a Siew, Voon Soon
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|a Ahmad Zubaidi Baharumshah,
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|a Tze, Haw Chan
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|a Efficiency market hypothesis in an emerging market: does it really hold for Malaysia?
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|b Penerbit Universiti Kebangsaan Malaysia,
|c 2014.
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|z Get fulltext
|u http://journalarticle.ukm.my/9408/1/9208-27640-1-PB.pdf
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|a 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 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.
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|a en
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