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The behavior of Malaysian stock market: evidence from nonlinear unit root test

Abdul Manap, Turkhan Ali and Omar, Mohd. Azmi (2010) The behavior of Malaysian stock market: evidence from nonlinear unit root test. In: Terengganu International Business and Economics Conference 2010 (TiBÉC II), 5th–7th August 2010, Primula Beach Hotel, Kuala Terengganu, Malaysia. (Unpublished)

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Abstract

This paper reexamines the efficient hypothesis using monthly Kuala Lumpur stock price data for the period January 1970 to August 2009, using the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) in addition to the linear unit root test with and without structural breaks. While the linear unit root tests could not reject the null of unit root at any conventional level of significance, the nonlinear unit root test rejects the null hypothesis of unit root, suggesting that Malaysian stock markets is not weak form efficient, which is contrary to the findings of other studies available in the literature. The estimated ESTAR models provide strong evidence that the Malaysian stock market is characterized by a slower speed of mean reversion process.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 5324/12216
Uncontrolled Keywords: Linearity, smooth transition autoregressive (STAR) models, Stock markets
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Dr Turkhan Ali Abdul Manap
Date Deposited: 01 Mar 2012 10:20
Last Modified: 05 Jul 2013 11:07
URI: http://irep.iium.edu.my/id/eprint/12216

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