Since 2014
Hubungan antara Pasaran Niagaan ke Depan Indeks Saham dengan Pasaran Saham di Malaysia
Jurnal Ekonomi Malaysia
View Archive Info| Field | Value | |
| Title |
Hubungan antara Pasaran Niagaan ke Depan Indeks Saham dengan Pasaran Saham di Malaysia
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| Creator |
Yakob, Noor Azuddin
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| Subject |
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| Description |
ABSTRAKKesan pimpin-lengah dengan pasaran niagaan ke depan indeks saham mendahului pasaran saham dalam bertindak balas dengan maklurnat baru adalah bertentangan dengan Hipotesis Pasaran Cekap. Dalam konteks kecekapan pasaran, pasaran bertindak balas secara serta-mertadan serentak terhadap ketibaan maklumat. Namun, kewujudan kesan pimpin-lengah menyokong kepentingan pasaran niagaan ke depan dalam proses penemuan harga. Kajian ini menyiasat hubungan antara pasaran niagaan ke depan indeks saham dengan pasaran saham di Malaysia. Objektif kajian adalah untuk menentukan bentuk hubungan bagi pulangan (dan kemeruapan) antara kedua-dua pasaran berkenaan. Tempoh kajian adalah antara Januari 2000 hingga Oktober 2003 dengan menggunakan data harian yang dilaporkan oleh Bursa Saham Kuala Lumpur dun Bursa Derivatif Malaysia. Kajian ini menggunakanteknik analisis korelasi-silang, regresi berganda dan ujian penyebab Granger: Hasil kajian menyokong kewujudan kesan pimpin-lengah antara pasaran niagaan ke depan indeks saham dengan pasaran saham di Malaysia dengan pasaran niagaan ke depan indeks saharn mendahuluipasaran saham dalam proses tindakbalas dengan maklumat baru. Namun, kesan pimpin-lengah didapati tidak sedominan kesan kontemporari yang wujud antara pulangan (dan kemeruapan) bagi kedua-dua pasaran. Ini membayangkan yang pasaran niagaan ke depan indekssaham dan pasaran saham berfungsi sebagai satu sistem yang bersepadu dan cekap.ABSTRACTThe presence of the lead-lag efect where the index futures leads the stock market in responding to new information is indeed a violation of the Eflcienf Market Hypothesis. Within the context of an efficient market, financial markets are said to react instantaneously and simultaneouslytowards the arrival of new information. Nonetheless, the existence of the lead-lag effect reaffirms the importance of the index futures market in the price discovery process. This paper investigates the relationship between index futures and stock market in Malaysia. The objective of this study is to examine the nature of relationship between returns {and volatility) between the two markets. The study uses daily data from January 2000 to October 2003 as reported by the Kuala Lumpur Stock Exchange andMalaysian Derivatives Exchange. The cross-correlation as well as the multiple regression analysis and the Granger causality test are employed in this study. The results support the presence of the lead-lag effect betweenthe futures index and the stock market in Malaysia where the index futures are found to lead the stock market in responding to new information, how ever the presence of the lead-lag eflect is not as dominant as the contemporary effect that exists among the returns (and volatility) of the two markets. As such, the two markets seem to function as an integrated system that is eficient.
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| Publisher |
Universiti Kebangsaan Malaysia
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| Date |
2012-12-06
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://ejournal.ukm.my/jem/article/view/1633
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| Source |
Jurnal Ekonomi Malaysia; Vol 39 (2005): Jurnal Ekonomi Malaysia
0126-1962 |
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| Language |
eng
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| Relation |
http://ejournal.ukm.my/jem/article/view/1633/1402
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