Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange

The primarily objective of this study is to investigate the informational efficiency of the Kuala Lumpur Security Exchange (KLSE) in terms of the daily Composite Index for the period of 1st January 1977 – 3rd May 2002. This paper concerned with the weak form test of efficient market hypo-thesis. Sin...

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Main Author:	Ozer Balkiz
Format:	Article
Published:	Penerbit Universiti Kebangsaan Malaysia 2003
Online Access:	http://journalarticle.ukm.my/1725/ http://journalarticle.ukm.my/1725/

id	ukm-1725
recordtype	eprints
spelling	ukm-17252011-06-09T06:45:25Z http://journalarticle.ukm.my/1725/ Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange Ozer Balkiz, The primarily objective of this study is to investigate the informational efficiency of the Kuala Lumpur Security Exchange (KLSE) in terms of the daily Composite Index for the period of 1st January 1977 – 3rd May 2002. This paper concerned with the weak form test of efficient market hypo-thesis. Since its discovery in 1982 by Engel, Autoregressive Conditional Heterocedastic (ARCH) modelling , which allows the conditional variance to change over time as a function of past errors keeping the unconditional variance constant, has turn out to be a growth industry, with all sorts of variations on the original model. One that has became well-known is the Generalized Autoregressive Conditional Heterocedastic (GARCH) model that is developed by Bollerslev (1986). It has been observed that such models capture much temporal behaviour like thick tail distribution and volatility clustering of many economic and financial variables. Since, in order to explore efficiency of such growing market a non-linear GARCH model is estimated. Empirical results confirm that KLSE is predictable and thus is not informationally efficient in the weak sense and volatility of return is quite persistent when daily observation of composite index is used Penerbit Universiti Kebangsaan Malaysia 2003 Article PeerReviewed Ozer Balkiz, (2003) Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange. Jurnal Ekonomi Malaysia, 37 . ISSN 0127-1962 http://www.ukm.my/penerbit/jem37-01.htm
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
description	The primarily objective of this study is to investigate the informational efficiency of the Kuala Lumpur Security Exchange (KLSE) in terms of the daily Composite Index for the period of 1st January 1977 – 3rd May 2002. This paper concerned with the weak form test of efficient market hypo-thesis. Since its discovery in 1982 by Engel, Autoregressive Conditional Heterocedastic (ARCH) modelling , which allows the conditional variance to change over time as a function of past errors keeping the unconditional variance constant, has turn out to be a growth industry, with all sorts of variations on the original model. One that has became well-known is the Generalized Autoregressive Conditional Heterocedastic (GARCH) model that is developed by Bollerslev (1986). It has been observed that such models capture much temporal behaviour like thick tail distribution and volatility clustering of many economic and financial variables. Since, in order to explore efficiency of such growing market a non-linear GARCH model is estimated. Empirical results confirm that KLSE is predictable and thus is not informationally efficient in the weak sense and volatility of return is quite persistent when daily observation of composite index is used
format	Article
author	Ozer Balkiz,
spellingShingle	Ozer Balkiz, Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
author_facet	Ozer Balkiz,
author_sort	Ozer Balkiz,
title	Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
title_short	Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
title_full	Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
title_fullStr	Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
title_full_unstemmed	Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
title_sort	testing informational market efficiency on kuala lumpur stock exchange
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2003
url	http://journalarticle.ukm.my/1725/ http://journalarticle.ukm.my/1725/
first_indexed	2023-09-18T19:34:07Z
last_indexed	2023-09-18T19:34:07Z
_version_	1777405156822876160

Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange

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