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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Main Authors:	Abdul Manap, Turkhan Ali, Omar, Mohd. Azmi
Format:	Conference or Workshop Item
Language:	English
Published:	2010
Subjects:	H Social Sciences (General) HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/12216/ http://irep.iium.edu.my/12216/1/A_nonlinear_Unit_Test_on_Malaysian_Stock_Price_IREP.pdf

id	iium-12216
recordtype	eprints
spelling	iium-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 PeerReviewed 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 (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	H Social Sciences (General) HG4501 Stocks, investment, speculation
spellingShingle	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
description	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/ http://irep.iium.edu.my/12216/1/A_nonlinear_Unit_Test_on_Malaysian_Stock_Price_IREP.pdf
first_indexed	2023-09-18T20:21:27Z
last_indexed	2023-09-18T20:21:27Z
_version_	1777408134128599040

The behavior of Malaysian stock market: evidence from nonlinear unit root test

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