Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?

Market integration and market efficiency are two important concepts in finance. Although debates on these concepts are still ongoing among practitioners and academicians, but it is still very few of empirical studies to explore the effect of market integration on market efficiency. The objective of...

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Main Author:	Tai, Kui Guan
Format:	Thesis
Language:	English
Published:	2013
Subjects:	HD28-70 Management Industrial Management
Online Access:	http://eprints.usm.my/43440/1/Tai%20Kui%20Guan24.pdf
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id	my-usm-ep.43440
record_format	uketd_dc
spelling	my-usm-ep.434402019-04-12T05:26:17Z Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms? 2013-04 Tai, Kui Guan HD28-70 Management. Industrial Management Market integration and market efficiency are two important concepts in finance. Although debates on these concepts are still ongoing among practitioners and academicians, but it is still very few of empirical studies to explore the effect of market integration on market efficiency. The objective of this thesis is to examine whether global information transmits fast into share price if a company is highly integrated with the world stock market. On the contrary, a segmented firm that has higher integration with local stock market is expected to have slow response to global news. This thesis is to investigate 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 sample study consists of 265 stocks listed on the Main Market of Bursa Malaysia and the data are from January 1995 to December 2010. The degree of market integration is measured by the variance ratio approach proposed by Akdogan (1997) while the informational efficiency is captured by the price delay measure of Hou and Moskowitz (2005). The price delay measure is designed to gauge the speed of stock prices adjust to new market-wide information, given that in an efficient market with complete information and rational investors, stock prices should adjust immediately to the arrival of new information. Besides, the determinants of price delay measure have received strong empirical support and well grounded theoretically. Therefore, this thesis also controls for the effects of investibility, firm size, turnover and volatility in the panel regression. 2013-04 Thesis http://eprints.usm.my/43440/ http://eprints.usm.my/43440/1/Tai%20Kui%20Guan24.pdf application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Pengurusan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HD28-70 Management Industrial Management
spellingShingle	HD28-70 Management Industrial Management Tai, Kui Guan Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?
description	Market integration and market efficiency are two important concepts in finance. Although debates on these concepts are still ongoing among practitioners and academicians, but it is still very few of empirical studies to explore the effect of market integration on market efficiency. The objective of this thesis is to examine whether global information transmits fast into share price if a company is highly integrated with the world stock market. On the contrary, a segmented firm that has higher integration with local stock market is expected to have slow response to global news. This thesis is to investigate 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 sample study consists of 265 stocks listed on the Main Market of Bursa Malaysia and the data are from January 1995 to December 2010. The degree of market integration is measured by the variance ratio approach proposed by Akdogan (1997) while the informational efficiency is captured by the price delay measure of Hou and Moskowitz (2005). The price delay measure is designed to gauge the speed of stock prices adjust to new market-wide information, given that in an efficient market with complete information and rational investors, stock prices should adjust immediately to the arrival of new information. Besides, the determinants of price delay measure have received strong empirical support and well grounded theoretically. Therefore, this thesis also controls for the effects of investibility, firm size, turnover and volatility in the panel regression.
format	Thesis
qualification_level	Master's degree
author	Tai, Kui Guan
author_facet	Tai, Kui Guan
author_sort	Tai, Kui Guan
title	Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?
title_short	Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?
title_full	Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?
title_fullStr	Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?
title_full_unstemmed	Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?
title_sort	can market integration explain informational efficiency of malaysian listed firms?
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Pengurusan
publishDate	2013
url	http://eprints.usm.my/43440/1/Tai%20Kui%20Guan24.pdf
_version_	1747821214916673536

Can Market Integration Explain Informational Efficiency Of Malaysian Listed Firms?

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