Weak-Form Efficiency of The Kuala Lumpur Stock Exchange: An Application of Unit Root Analysis
Previous studies on the predictability efficiency of Kuala Lumpur Stock Exchange (KLSE) provide mixed evidence. Most of these studies did not altemptto control thinness of trading, drift and time-trend in the price series, which are peculiar characteristics of a developing securities market. This...
| मुख्य लेखकों: | , , |
|---|---|
| स्वरूप: | लेख |
| भाषा: | English English |
| प्रकाशित: |
Universiti Putra Malaysia Press
1993
|
| ऑनलाइन पहुंच: | http://psasir.upm.edu.my/id/eprint/2988/1/Weak-Form_Efficiency_of_The_Kuala_Lumpur_Stock_Exchange.pdf |
| _version_ | 1825921569005764608 |
|---|---|
| author | Md. Nassir, Annuar Ariff, Mohamed Mohamad, Shamsher |
| author_facet | Md. Nassir, Annuar Ariff, Mohamed Mohamad, Shamsher |
| author_sort | Md. Nassir, Annuar |
| collection | UPM |
| description | Previous studies on the predictability efficiency of Kuala Lumpur Stock Exchange (KLSE) provide mixed
evidence. Most of these studies did not altemptto control thinness of trading, drift and time-trend in the price
series, which are peculiar characteristics of a developing securities market. This study investigates the
predictability efficiency of KLSE using unit root analysis which incorporates the drift and time-trend factors.
The thinness of trading was controlled by grouping the indices based on the volume of stock turnover per unit
of outstanding shares. The findings suggest that the average unit root coefficient is 0.9 which implies that there
is less than 10 percen t chance that the indices are inefficiently priced over the period of study. The findings
from the average serial correlation tests were consistent with unit root analysis. This implies that KLSE is weakform
efficient though there are pockets of inefficiencies for some indices. |
| first_indexed | 2024-03-06T06:59:49Z |
| format | Article |
| id | upm.eprints-2988 |
| institution | Universiti Putra Malaysia |
| language | English English |
| last_indexed | 2024-03-06T06:59:49Z |
| publishDate | 1993 |
| publisher | Universiti Putra Malaysia Press |
| record_format | dspace |
| spelling | upm.eprints-29882013-05-27T07:04:55Z http://psasir.upm.edu.my/id/eprint/2988/ Weak-Form Efficiency of The Kuala Lumpur Stock Exchange: An Application of Unit Root Analysis Md. Nassir, Annuar Ariff, Mohamed Mohamad, Shamsher Previous studies on the predictability efficiency of Kuala Lumpur Stock Exchange (KLSE) provide mixed evidence. Most of these studies did not altemptto control thinness of trading, drift and time-trend in the price series, which are peculiar characteristics of a developing securities market. This study investigates the predictability efficiency of KLSE using unit root analysis which incorporates the drift and time-trend factors. The thinness of trading was controlled by grouping the indices based on the volume of stock turnover per unit of outstanding shares. The findings suggest that the average unit root coefficient is 0.9 which implies that there is less than 10 percen t chance that the indices are inefficiently priced over the period of study. The findings from the average serial correlation tests were consistent with unit root analysis. This implies that KLSE is weakform efficient though there are pockets of inefficiencies for some indices. Universiti Putra Malaysia Press 1993 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/2988/1/Weak-Form_Efficiency_of_The_Kuala_Lumpur_Stock_Exchange.pdf Md. Nassir, Annuar and Ariff, Mohamed and Mohamad, Shamsher (1993) Weak-Form Efficiency of The Kuala Lumpur Stock Exchange: An Application of Unit Root Analysis. Pertanika Journal of Social Sciences & Humanities, 1 (1). pp. 57-62. ISSN 0128-7702 English |
| spellingShingle | Md. Nassir, Annuar Ariff, Mohamed Mohamad, Shamsher Weak-Form Efficiency of The Kuala Lumpur Stock Exchange: An Application of Unit Root Analysis |
| title | Weak-Form Efficiency of The Kuala Lumpur Stock Exchange:
An Application of Unit Root Analysis |
| title_full | Weak-Form Efficiency of The Kuala Lumpur Stock Exchange:
An Application of Unit Root Analysis |
| title_fullStr | Weak-Form Efficiency of The Kuala Lumpur Stock Exchange:
An Application of Unit Root Analysis |
| title_full_unstemmed | Weak-Form Efficiency of The Kuala Lumpur Stock Exchange:
An Application of Unit Root Analysis |
| title_short | Weak-Form Efficiency of The Kuala Lumpur Stock Exchange:
An Application of Unit Root Analysis |
| title_sort | weak form efficiency of the kuala lumpur stock exchange an application of unit root analysis |
| url | http://psasir.upm.edu.my/id/eprint/2988/1/Weak-Form_Efficiency_of_The_Kuala_Lumpur_Stock_Exchange.pdf |
| work_keys_str_mv | AT mdnassirannuar weakformefficiencyofthekualalumpurstockexchangeanapplicationofunitrootanalysis AT ariffmohamed weakformefficiencyofthekualalumpurstockexchangeanapplicationofunitrootanalysis AT mohamadshamsher weakformefficiencyofthekualalumpurstockexchangeanapplicationofunitrootanalysis |