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 |
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| Keyword: | 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 |
| Department: | 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: | https://eprints.ums.edu.my/id/eprint/2355 |
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