Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market
This study utilies the windowed testing procedure of Hinich & Patterson (1995) to examine the data generating process of KLCI return series.Unlike previous studies, the present one relates the evidence to the weak-form Efficient Market Hypothesis (EMH) and behavioural finance, with the hope of...
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| 格式: | 文件 |
| 语言: | English |
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Universiti Malaysia Sabah
2005
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| 主题: | |
| 在线阅读: | https://repo.uum.edu.my/id/eprint/717/1/Kian_Ping_Lim.pdf |
| _version_ | 1825739722972987392 |
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| author | Lim, Kian Ping Liew, Venus Khim-Sen Wong, Hock Tsen |
| author_facet | Lim, Kian Ping Liew, Venus Khim-Sen Wong, Hock Tsen |
| author_sort | Lim, Kian Ping |
| collection | UUM |
| description | This study utilies the windowed testing procedure of Hinich & Patterson (1995) to examine the data generating process of
KLCI return series.Unlike previous studies, the present one relates the evidence to the weak-form Efficient Market Hypothesis (EMH) and behavioural finance, with the hope of offering some plausible explanations to the controversy existing between these two camps. Our econometrics results indicate that linear and non-linear dependencies play a significant role in the underlying data generating process. However, these dependencies are not stable as the results reveal that they are episodic and transient in nature. Along the line of our interpretations, we are able to offer some plausible explanations as to why weak-form EMH generally holds in the Malaysian stock market, though the presence of linear and nonlinear dependencies implies the potential of returns predictability. Specifically, these significant dependencies show up at random intervals for a brief period of time but then disappear again before they can be exploited by investors. Looking from a micro perspective, we are able to rationalise the co-existence of weak-form EMH and behavioural finance in the Malaysian stock market when the statistical properties of random walk, linear and non-linear dependencies, which also co-exist in the time domain, are interpreted in the framework of information arrival and market reactions to that information. |
| first_indexed | 2024-07-04T05:14:13Z |
| format | Article |
| id | uum-717 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:14:13Z |
| publishDate | 2005 |
| publisher | Universiti Malaysia Sabah |
| record_format | eprints |
| spelling | uum-7172010-10-03T09:27:10Z https://repo.uum.edu.my/id/eprint/717/ Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market Lim, Kian Ping Liew, Venus Khim-Sen Wong, Hock Tsen HG Finance This study utilies the windowed testing procedure of Hinich & Patterson (1995) to examine the data generating process of KLCI return series.Unlike previous studies, the present one relates the evidence to the weak-form Efficient Market Hypothesis (EMH) and behavioural finance, with the hope of offering some plausible explanations to the controversy existing between these two camps. Our econometrics results indicate that linear and non-linear dependencies play a significant role in the underlying data generating process. However, these dependencies are not stable as the results reveal that they are episodic and transient in nature. Along the line of our interpretations, we are able to offer some plausible explanations as to why weak-form EMH generally holds in the Malaysian stock market, though the presence of linear and nonlinear dependencies implies the potential of returns predictability. Specifically, these significant dependencies show up at random intervals for a brief period of time but then disappear again before they can be exploited by investors. Looking from a micro perspective, we are able to rationalise the co-existence of weak-form EMH and behavioural finance in the Malaysian stock market when the statistical properties of random walk, linear and non-linear dependencies, which also co-exist in the time domain, are interpreted in the framework of information arrival and market reactions to that information. Universiti Malaysia Sabah 2005 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/717/1/Kian_Ping_Lim.pdf Lim, Kian Ping and Liew, Venus Khim-Sen and Wong, Hock Tsen (2005) Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market. International Journal of Management Studies (IJMS), 12 (1). pp. 1-27. ISSN 0127-8983 http://ijms.uum.edu.my |
| spellingShingle | HG Finance Lim, Kian Ping Liew, Venus Khim-Sen Wong, Hock Tsen Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market |
| title | Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market |
| title_full | Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market |
| title_fullStr | Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market |
| title_full_unstemmed | Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market |
| title_short | Weak - form efficient market hypothesis versus bahavioural finance: A different perspective drawn from the Malaysian stock market |
| title_sort | weak form efficient market hypothesis versus bahavioural finance a different perspective drawn from the malaysian stock market |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/717/1/Kian_Ping_Lim.pdf |
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