Record Details

Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange

Jurnal Ekonomi Malaysia

View Archive Info
 
 
Field Value
 
Title Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange
 
Creator Balkiz, Ozer
 
Subject —
—
—
 
Description The primarily objective of this study is to investigate the informational eficiency of the Kuala Lumpur Security Exchange (KLSE) in terms of the daily Composite Index for the period of I'January 1977-Pd May 2002. This paper concerned with the weak form test of efficient market hyporthesis.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 theunconditional 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 volatiliry clustering of many economic and financial variables. Since, in order to explore efficiency of such growing market a non-linear GARCH model is estimated. Empiricalresults confirm that K:LSE is predictable and thus is not informationally efficient in the weak sense and volatility of return is quite persistent when daily observation of  omposite index is used.Keywords: efficient, GARCH model, volatility
 
Publisher Universiti Kebangsaan Malaysia
 
Contributor —
 
Date 2003-12-31
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
—
 
Format application/pdf
 
Identifier http://ejournal.ukm.my/jem/article/view/2102
 
Source Jurnal Ekonomi Malaysia; Vol 37 (2003): Jurnal Ekonomi Malaysia
0126-1962
 
Language eng
 
Relation http://ejournal.ukm.my/jem/article/view/2102/1583
 
Coverage —
—
—