Munir, Qaiser and Kasim Md Mansur, (2009) Is Malaysian stock market efficient? Evidence from threshold unit root tests. Ecomomic Bulletin, 29 (2). pp. 1359-1370. ISSN 1545-2921
Official URL: http://www.scopus.com/record/display.url?view=basi...
This paper investigates the behavior of Kuala Lumpur Stock Exchange Composite Index (KLCI) for the period from 1980:1 to 2008:8 using a two-regime threshold autoregressive (TAR) model with an autoregressive unit root developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrics 69 (6) (2001) 1555-1596] which allows testing nonlinearity and nonstationarity simultaneously. Our finding indicates that the KLCI is a nonlinear series that is characterized by a unit root process, consistent with the efficient market hypothesis.
|Uncontrolled Keywords:||Malaysian stock market, Threshold autoregression, Kuala Lumpur Stock Exchange Composite Index (KLCI)|
|Subjects:||?? HG4551-4598 ??|
|Divisions:||SCHOOL > School of Business and Economics|
|Deposited By:||IR Admin|
|Deposited On:||15 Mar 2011 17:15|
|Last Modified:||23 Feb 2015 12:51|
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