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Information Efficiency and Integration of Malaysia Listed Firms: Empirical Evidence at Firm Level

Jurnal Ekonomi Malaysia

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Title Information Efficiency and Integration of Malaysia Listed Firms: Empirical Evidence at Firm Level
 
Creator Chee Wooi, Hooy
Tai, Kui Guan
 
Subject efficiency; Market integration; Price delay; Variance Ratios; Malaysian stock market.
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Description Global information transmits fast into share price if a company is highly integrated with the world market. On the contrary, a segmented firm that has higher integration with local market is expected to have slow response to global information. This paper motivated to investigates whether the above hypotheses are valid for listed firms in Malaysia, a fast emerging market that consist of a large pool of both integrated and segmented firms. The degree of market integration is measured by the variance ratios approach proposed by Akdogan (1997) while informational efficiency is captured by the price delay measure of Hou and Moskowitz (2005). We analyze a panel of 265 firms over 1995 to 2010 and find that firm that has higher integration with the world market has better global information efficiency while a segmented firm was significantly slow to impound global news. Our results are robust to the choice of different proxies for informational efficiency as well as different control variables and a variety of alternative regression specifications. 
 
Publisher Universiti Kebangsaan Malaysia
 
Contributor —
 
Date 2018-01-03
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Identifier http://ejournal.ukm.my/jem/article/view/12853
 
Source Jurnal Ekonomi Malaysia; Vol 51, No 2 (2017): Jurnal Ekonomi Malaysia
0126-1962
 
Language en
 
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