Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal

The purpose of this study is to investigate the existence of Efficient Market Hypothesis (EMH) in Bursa Malaysia’s selected indexes. However, this study is only testing the weak form of EMH. The indexes chosen for this research is Emas, Mids Cap, Small Cap and Top 100 Index. The data was collected i...

Full description

Bibliographic Details
Main Author:	W Mhd Kamal, W Nurliana Aida
Format:	Student Project
Language:	English
Published:	Faculty of Business and Management 2018
Subjects:	Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations Kuala Lumpur. KLSE
Online Access:	http://ir.uitm.edu.my/id/eprint/21329/ http://ir.uitm.edu.my/id/eprint/21329/1/PPb_W%20NURLIANA%20AIDA%20W%20MHD%20KAMAL%20M%20BM%2018_5.pdf

id	uitm-21329
recordtype	eprints
spelling	uitm-213292018-10-23T09:43:02Z http://ir.uitm.edu.my/id/eprint/21329/ Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal W Mhd Kamal, W Nurliana Aida Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations Kuala Lumpur. KLSE The purpose of this study is to investigate the existence of Efficient Market Hypothesis (EMH) in Bursa Malaysia’s selected indexes. However, this study is only testing the weak form of EMH. The indexes chosen for this research is Emas, Mids Cap, Small Cap and Top 100 Index. The data was collected in for each index for daily basis from year 2013 to 2017. This study used Autoregressive Model to regress the previous return index with the current return index. Tests employed for this study includes descriptive analysis, test for estimated empirical model, stationary tests and diagnostic tests. Result of this study reveals that for daily data, all of the indexes have significant relationship which can be concluded as inefficiently weak. All the data for indexes can be concluded as inefficiently weak. These results provide understanding towards investors, analysts and regulator in dealing with Efficient Market Hypotheses. Faculty of Business and Management 2018 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/21329/1/PPb_W%20NURLIANA%20AIDA%20W%20MHD%20KAMAL%20M%20BM%2018_5.pdf W Mhd Kamal, W Nurliana Aida (2018) Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal. [Student Project] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations Kuala Lumpur. KLSE
spellingShingle	Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations Kuala Lumpur. KLSE W Mhd Kamal, W Nurliana Aida Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal
description	The purpose of this study is to investigate the existence of Efficient Market Hypothesis (EMH) in Bursa Malaysia’s selected indexes. However, this study is only testing the weak form of EMH. The indexes chosen for this research is Emas, Mids Cap, Small Cap and Top 100 Index. The data was collected in for each index for daily basis from year 2013 to 2017. This study used Autoregressive Model to regress the previous return index with the current return index. Tests employed for this study includes descriptive analysis, test for estimated empirical model, stationary tests and diagnostic tests. Result of this study reveals that for daily data, all of the indexes have significant relationship which can be concluded as inefficiently weak. All the data for indexes can be concluded as inefficiently weak. These results provide understanding towards investors, analysts and regulator in dealing with Efficient Market Hypotheses.
format	Student Project
author	W Mhd Kamal, W Nurliana Aida
author_facet	W Mhd Kamal, W Nurliana Aida
author_sort	W Mhd Kamal, W Nurliana Aida
title	Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal
title_short	Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal
title_full	Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal
title_fullStr	Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal
title_full_unstemmed	Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal
title_sort	testing of weak form efficiency on bursa malaysia’s selected indexes / w nurliana aida w mhd kamal
publisher	Faculty of Business and Management
publishDate	2018
url	http://ir.uitm.edu.my/id/eprint/21329/ http://ir.uitm.edu.my/id/eprint/21329/1/PPb_W%20NURLIANA%20AIDA%20W%20MHD%20KAMAL%20M%20BM%2018_5.pdf
first_indexed	2023-09-18T23:06:20Z
last_indexed	2023-09-18T23:06:20Z
_version_	1777418507847204864

Testing of weak form efficiency on Bursa Malaysia’s selected indexes / W Nurliana Aida W Mhd Kamal

Similar Items