Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad ESAN
2015
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| _version_ | 1876445547665031168 |
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| author | Sook Ching Kok |
| author_facet | Sook Ching Kok |
| contents | Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence Sook Ching Kok Qaiser Munir Multidisciplinarias (Ciencias Sociales) Banks Cross Panel data Heterogeneity Financial firms This study examines the weak-form efficient market hypothesis (EMH) for the Finance Sector in Malaysian Stock Exchange, by exploring and scrutinizing the firm-level efficiency over for the period from 1st January 1997 to 31st December 2014. For this purpose, we apply panel nonlinear unit root test that accounts for heterogeneity, and panel stationarity test to allow for the presence of structural breaks and crosssectional dependence (CSD). The main findings of this study suggest the following: first, there is a strong CSD among the price series of finance stocks; second, unlike the traditional panel unit root tests that provide mixed-results, the panel stationarity test which incorporates structural breaks and CSD suggests that these series are characterized as random walk processes implying the Finance Sector is weak-form efficient. The finding of weak-form efficiency has salient implications in terms of capital allocation, stock price predictability, forecasting technique, and the impact of shocks to stock prices. 2015 artículo científico 2077-1886 https://www.redalyc.org/articulo.oa?id=360743432005 en http://www.redalyc.org/revista.oa?id=3607 Journal of Economics, Finance and Administrative Science application/pdf Universidad ESAN Journal of Economics, Finance and Administrative Science (Perú) Num.39 Vol.20 |
| format | Artículo científico |
| id | redalyc_360743432005 |
| institution | Redalyc |
| language | en |
| publishDate | 2015 |
| publisher | Universidad ESAN |
| spellingShingle | Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence Sook Ching Kok Multidisciplinarias (Ciencias Sociales) Banks Cross Panel data Heterogeneity Financial firms Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence Sook Ching Kok Qaiser Munir Multidisciplinarias (Ciencias Sociales) Banks Cross Panel data Heterogeneity Financial firms This study examines the weak-form efficient market hypothesis (EMH) for the Finance Sector in Malaysian Stock Exchange, by exploring and scrutinizing the firm-level efficiency over for the period from 1st January 1997 to 31st December 2014. For this purpose, we apply panel nonlinear unit root test that accounts for heterogeneity, and panel stationarity test to allow for the presence of structural breaks and crosssectional dependence (CSD). The main findings of this study suggest the following: first, there is a strong CSD among the price series of finance stocks; second, unlike the traditional panel unit root tests that provide mixed-results, the panel stationarity test which incorporates structural breaks and CSD suggests that these series are characterized as random walk processes implying the Finance Sector is weak-form efficient. The finding of weak-form efficiency has salient implications in terms of capital allocation, stock price predictability, forecasting technique, and the impact of shocks to stock prices. 2015 artículo científico 2077-1886 https://www.redalyc.org/articulo.oa?id=360743432005 en http://www.redalyc.org/revista.oa?id=3607 Journal of Economics, Finance and Administrative Science application/pdf Universidad ESAN Journal of Economics, Finance and Administrative Science (Perú) Num.39 Vol.20 |
| title | Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence |
| topic | Multidisciplinarias (Ciencias Sociales) Banks Cross Panel data Heterogeneity Financial firms |
| url | https://www.redalyc.org/articulo.oa?id=360743432005 |