Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach
This research focuses on the market efficiency tests using Fractional Integration approach. This approach involves testing the long memory component in the futures basis, which leads to the rejection of the market efficiency if there is an existence of the long memory.Data used consist of the Kuala...
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| Format: | Article |
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American Scientific Publishers
2017
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| _version_ | 1825804853684731904 |
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| author | Ahmad, Norzalina Mohd Taib, Hasniza |
| author_facet | Ahmad, Norzalina Mohd Taib, Hasniza |
| author_sort | Ahmad, Norzalina |
| collection | UUM |
| description | This research focuses on the market efficiency tests using Fractional Integration approach. This approach involves testing the long memory component in the futures basis, which leads to the rejection of the market efficiency if there is an existence of the long memory.Data used consist of the Kuala Lumpur Composite Index (KLCI) futures contract and spot prices of KLCI from year 2000 to 2015.Based on ARFIMA model, there is evidence of long memory component in the KLCI futures basis, which suggests that KLCI futures price is inefficient.This leads us to conclude that the KLCI futures price is biased in predicting future spot prices; and therefore past price might be used to predict future prices. |
| first_indexed | 2024-07-04T06:22:29Z |
| format | Article |
| id | uum-23037 |
| institution | Universiti Utara Malaysia |
| last_indexed | 2024-07-04T06:22:29Z |
| publishDate | 2017 |
| publisher | American Scientific Publishers |
| record_format | eprints |
| spelling | uum-230372018-02-13T01:03:32Z https://repo.uum.edu.my/id/eprint/23037/ Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach Ahmad, Norzalina Mohd Taib, Hasniza HB Economic Theory This research focuses on the market efficiency tests using Fractional Integration approach. This approach involves testing the long memory component in the futures basis, which leads to the rejection of the market efficiency if there is an existence of the long memory.Data used consist of the Kuala Lumpur Composite Index (KLCI) futures contract and spot prices of KLCI from year 2000 to 2015.Based on ARFIMA model, there is evidence of long memory component in the KLCI futures basis, which suggests that KLCI futures price is inefficient.This leads us to conclude that the KLCI futures price is biased in predicting future spot prices; and therefore past price might be used to predict future prices. American Scientific Publishers 2017 Article PeerReviewed Ahmad, Norzalina and Mohd Taib, Hasniza (2017) Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach. Advanced Science Letters, 23 (9). pp. 8562-8565. ISSN 1936-6612 http://doi.org/10.1166/asl.2017.9929 doi:10.1166/asl.2017.9929 doi:10.1166/asl.2017.9929 |
| spellingShingle | HB Economic Theory Ahmad, Norzalina Mohd Taib, Hasniza Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach |
| title | Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach |
| title_full | Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach |
| title_fullStr | Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach |
| title_full_unstemmed | Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach |
| title_short | Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach |
| title_sort | kuala lumpur stock index futures market efficiency long memory approach |
| topic | HB Economic Theory |
| work_keys_str_mv | AT ahmadnorzalina kualalumpurstockindexfuturesmarketefficiencylongmemoryapproach AT mohdtaibhasniza kualalumpurstockindexfuturesmarketefficiencylongmemoryapproach |