Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period
There are plenty of literature on the efficient market hypothesis (EMH) especially for a stock market, but relatively fewer studies for across sectors. We look into the weak-form informational efficiency for twelve sectors in the Malaysia’s stock exchange, i.e. Consumer Products & Services (KLCS...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English English |
| Published: |
Penerbit UUM
2024
|
| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/38792/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/38792/2/FULL%20TEXT.pdf |
| _version_ | 1811136360605548544 |
|---|---|
| author | Qaiser Munir Kok, Sook Ching |
| author_facet | Qaiser Munir Kok, Sook Ching |
| author_sort | Qaiser Munir |
| collection | UMS |
| description | There are plenty of literature on the efficient market hypothesis (EMH) especially for a stock market, but relatively fewer studies for across sectors. We look into the weak-form informational efficiency for twelve sectors in the Malaysia’s stock exchange, i.e. Consumer Products & Services (KLCSU), Construction (KLCON), Energy (KLENG), Financial Services (KLFIN), Health Care (KLHEAL), Industrial Products & Services (KLPRO), Property (KLPRP), Plantation (KLPLN), Transportation & Logistics (KLTRAN), Telecommunications & Media (KLTEL), Utilities (KLUTL), and Technology (KLTEC) during the outbreak of COVID-19 pandemic. We use QTEST (without trend) and TQTEST (with trend) which incorporate two structural breaks to carry out the analysis. Data are collected from 1/1/2020 through 31/3/2022. These indices show non-linearity and structural breaks in data. The findings of our study suggest mixed results in regard to informational efficiency when breaks are taken. Four indices, i.e. KLCON, KLFIN, KLPRP, and KLUTL are found to be inefficient while the remaining eight sectors are found to be efficient. Investors can predict the movements of stocks in the inefficient indices and are able to gain abnormal returns from these stocks. Policymakers may encourage investors to have more trades; so that to make the market more efficient by gradually eliminating the opportunities on earning abnormal returns. |
| first_indexed | 2024-09-24T00:49:21Z |
| format | Article |
| id | ums.eprints-38792 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-09-24T00:49:21Z |
| publishDate | 2024 |
| publisher | Penerbit UUM |
| record_format | dspace |
| spelling | ums.eprints-387922024-06-10T06:45:42Z https://eprints.ums.edu.my/id/eprint/38792/ Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period Qaiser Munir Kok, Sook Ching HC79 Special topics Including air pollution, automation, consumer demand, famines, flow of funds, etc. RA643-645 Disease (Communicable and noninfectious) and public health There are plenty of literature on the efficient market hypothesis (EMH) especially for a stock market, but relatively fewer studies for across sectors. We look into the weak-form informational efficiency for twelve sectors in the Malaysia’s stock exchange, i.e. Consumer Products & Services (KLCSU), Construction (KLCON), Energy (KLENG), Financial Services (KLFIN), Health Care (KLHEAL), Industrial Products & Services (KLPRO), Property (KLPRP), Plantation (KLPLN), Transportation & Logistics (KLTRAN), Telecommunications & Media (KLTEL), Utilities (KLUTL), and Technology (KLTEC) during the outbreak of COVID-19 pandemic. We use QTEST (without trend) and TQTEST (with trend) which incorporate two structural breaks to carry out the analysis. Data are collected from 1/1/2020 through 31/3/2022. These indices show non-linearity and structural breaks in data. The findings of our study suggest mixed results in regard to informational efficiency when breaks are taken. Four indices, i.e. KLCON, KLFIN, KLPRP, and KLUTL are found to be inefficient while the remaining eight sectors are found to be efficient. Investors can predict the movements of stocks in the inefficient indices and are able to gain abnormal returns from these stocks. Policymakers may encourage investors to have more trades; so that to make the market more efficient by gradually eliminating the opportunities on earning abnormal returns. Penerbit UUM 2024 Article NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/38792/1/ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/38792/2/FULL%20TEXT.pdf Qaiser Munir and Kok, Sook Ching (2024) Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period. Journal of Economics and Sustainability, 6 (1). pp. 78-86. ISSN 2637-1294 https://doi.org/10.32890/jes2024.6.1.5 |
| spellingShingle | HC79 Special topics Including air pollution, automation, consumer demand, famines, flow of funds, etc. RA643-645 Disease (Communicable and noninfectious) and public health Qaiser Munir Kok, Sook Ching Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period |
| title | Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period |
| title_full | Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period |
| title_fullStr | Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period |
| title_full_unstemmed | Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period |
| title_short | Revisiting weak-form efficiency of major sectors of Malaysia during the covid-19 period |
| title_sort | revisiting weak form efficiency of major sectors of malaysia during the covid 19 period |
| topic | HC79 Special topics Including air pollution, automation, consumer demand, famines, flow of funds, etc. RA643-645 Disease (Communicable and noninfectious) and public health |
| url | https://eprints.ums.edu.my/id/eprint/38792/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/38792/2/FULL%20TEXT.pdf |
| work_keys_str_mv | AT qaisermunir revisitingweakformefficiencyofmajorsectorsofmalaysiaduringthecovid19period AT koksookching revisitingweakformefficiencyofmajorsectorsofmalaysiaduringthecovid19period |