Is Malaysian stock market efficient? Evidence from threshold unit root tests

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

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: Malaysian stock market, Threshold autoregression, Kuala Lumpur Stock Exchange Composite Index (KLCI)
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > School of Business and Economics
Depositing User: ADMIN ADMIN
Date Deposited: 15 Mar 2011 17:15
Last Modified: 19 Oct 2017 15:17
URI: http://eprints.ums.edu.my/id/eprint/2355

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