The behavior of Malaysian stock market: evidence from nonlinear unit root test
This paper reexamines the efficient hypothesis using monthly Kuala Lumpur stock price data for the period January 1970 to August 2009, using the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) in addition to the linear unit root test with and without structural brea...
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my.iium.irep.122162013-07-05T03:07:01Z http://irep.iium.edu.my/12216/ The behavior of Malaysian stock market: evidence from nonlinear unit root test Abdul Manap, Turkhan Ali Omar, Mohd. Azmi H Social Sciences (General) HG4501 Stocks, investment, speculation This paper reexamines the efficient hypothesis using monthly Kuala Lumpur stock price data for the period January 1970 to August 2009, using the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) in addition to the linear unit root test with and without structural breaks. While the linear unit root tests could not reject the null of unit root at any conventional level of significance, the nonlinear unit root test rejects the null hypothesis of unit root, suggesting that Malaysian stock markets is not weak form efficient, which is contrary to the findings of other studies available in the literature. The estimated ESTAR models provide strong evidence that the Malaysian stock market is characterized by a slower speed of mean reversion process. 2010 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/12216/1/A_nonlinear_Unit_Test_on_Malaysian_Stock_Price_IREP.pdf Abdul Manap, Turkhan Ali and Omar, Mohd. Azmi (2010) The behavior of Malaysian stock market: evidence from nonlinear unit root test. In: Terengganu International Business and Economics Conference 2010 (TiBÉC II), 5th–7th August 2010, Primula Beach Hotel, Kuala Terengganu, Malaysia. (Unpublished) |
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H Social Sciences (General) HG4501 Stocks, investment, speculation Abdul Manap, Turkhan Ali Omar, Mohd. Azmi The behavior of Malaysian stock market: evidence from nonlinear unit root test |
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This paper reexamines the efficient hypothesis using monthly Kuala Lumpur stock price data for the period January 1970 to August 2009, using the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) in addition to the linear unit root test with and without structural breaks. While the linear unit root tests could not reject the null of unit root at any conventional level of significance, the nonlinear unit root test rejects the null hypothesis of unit root, suggesting that Malaysian stock markets is not weak form efficient, which is contrary to the findings of other studies available in the literature. The estimated ESTAR models provide strong evidence that the Malaysian stock market is characterized by a slower speed of mean reversion process. |
format |
Conference or Workshop Item |
author |
Abdul Manap, Turkhan Ali Omar, Mohd. Azmi |
author_facet |
Abdul Manap, Turkhan Ali Omar, Mohd. Azmi |
author_sort |
Abdul Manap, Turkhan Ali |
title |
The behavior of Malaysian stock market: evidence from nonlinear unit root test
|
title_short |
The behavior of Malaysian stock market: evidence from nonlinear unit root test
|
title_full |
The behavior of Malaysian stock market: evidence from nonlinear unit root test
|
title_fullStr |
The behavior of Malaysian stock market: evidence from nonlinear unit root test
|
title_full_unstemmed |
The behavior of Malaysian stock market: evidence from nonlinear unit root test
|
title_sort |
behavior of malaysian stock market: evidence from nonlinear unit root test |
publishDate |
2010 |
url |
http://irep.iium.edu.my/12216/1/A_nonlinear_Unit_Test_on_Malaysian_Stock_Price_IREP.pdf http://irep.iium.edu.my/12216/ |
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1643606593161396224 |
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13.18916 |