Research Article Open Access

A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break

Chin Wen Cheong

Abstract

We investigated the weak-form market efficiency of nine daily sectoral indices of Malaysian stock market between 1996 and 2006. The structural break unit root tests evidenced most of the price indices characterized by mean-reverting process that violated the random walk process. These empirical results were in sharp contrast with the traditional unit-root test which ignored the economic crisis and currency control. Our findings concluded that the Malaysian sectoral stock markets were weak-form inefficient (except the property index) under the structural change.

American Journal of Applied Sciences
Volume 5 No. 10, 2008, 1291-1295

DOI: https://doi.org/10.3844/ajassp.2008.1291.1295

Submitted On: 18 September 2007 Published On: 31 October 2008

How to Cite: Cheong, C. W. (2008). A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break. American Journal of Applied Sciences, 5(10), 1291-1295. https://doi.org/10.3844/ajassp.2008.1291.1295

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Keywords

  • structural break
  • market efficiency
  • stock marke
  • unit root test
  • random walk