Testing market efficiency in Malaysia's large, medium and small stock market indices

As if random walk does not exist and the market is inefficient in weak form, then technical analysis used by technical analysts would grant them profitability. Therefore, it is crucial to determine whether the securities or the market price follow random walk or not. This paper examines whether Mala...

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Main Author:	Heng, Cheat Yee
Format:	Thesis
Language:	eng eng eng eng
Published:	2020
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/10409/1/depositpermission-not%20allow_s825513.pdf https://etd.uum.edu.my/10409/2/s825513_01.pdf https://etd.uum.edu.my/10409/3/s825513_02.pdf https://etd.uum.edu.my/10409/4/references_s825513.docx
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id	my-uum-etd.10409
record_format	uketd_dc
spelling	my-uum-etd.104092023-03-15T02:48:03Z Testing market efficiency in Malaysia's large, medium and small stock market indices 2020 Heng, Cheat Yee Ahmad, Norzalina Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance As if random walk does not exist and the market is inefficient in weak form, then technical analysis used by technical analysts would grant them profitability. Therefore, it is crucial to determine whether the securities or the market price follow random walk or not. This paper examines whether Malaysia large, medium and small stock market indices are efficient and follow random walk or not. Daily and weekly return series from 31st October 2014 to 31st October 2019 are collected and analysed by using the Bloomberg Terminal. KLCI, FBM70, FBMSC and MESDAQ are proxy as the stock market indices with different categories of capitalizations. In order to examine the existence of random walk and market efficiency, multiple tests are used to achieve the research objective where are normality test, autocorrelation test, run test, unit root tests and the variance ratio test. The result finding indicates that in overall, despite of different size of stock market exhibits different characteristics, all the four examined stock market indices or benchmark with different categories of capitalization are not likely to follow random walk according to the empirical evidence. Therefore, we can conclude that Malaysia large, medium and small capitalization stock market indices do not follow random walk and are inefficient in weak form market efficiency. The stock market might be predictable and so there might be feasibility to take advantage of the price movement. Therefore, it is feasible for investors and traders to earn abnormal return in Malaysia stock market by utilizing the historical information. 2020 Thesis https://etd.uum.edu.my/10409/ https://etd.uum.edu.my/10409/1/depositpermission-not%20allow_s825513.pdf text eng staffonly https://etd.uum.edu.my/10409/2/s825513_01.pdf text eng staffonly https://etd.uum.edu.my/10409/3/s825513_02.pdf text eng staffonly https://etd.uum.edu.my/10409/4/references_s825513.docx text eng public other masters Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng eng eng
advisor	Ahmad, Norzalina
topic	HG Finance
spellingShingle	HG Finance Heng, Cheat Yee Testing market efficiency in Malaysia's large, medium and small stock market indices
description	As if random walk does not exist and the market is inefficient in weak form, then technical analysis used by technical analysts would grant them profitability. Therefore, it is crucial to determine whether the securities or the market price follow random walk or not. This paper examines whether Malaysia large, medium and small stock market indices are efficient and follow random walk or not. Daily and weekly return series from 31st October 2014 to 31st October 2019 are collected and analysed by using the Bloomberg Terminal. KLCI, FBM70, FBMSC and MESDAQ are proxy as the stock market indices with different categories of capitalizations. In order to examine the existence of random walk and market efficiency, multiple tests are used to achieve the research objective where are normality test, autocorrelation test, run test, unit root tests and the variance ratio test. The result finding indicates that in overall, despite of different size of stock market exhibits different characteristics, all the four examined stock market indices or benchmark with different categories of capitalization are not likely to follow random walk according to the empirical evidence. Therefore, we can conclude that Malaysia large, medium and small capitalization stock market indices do not follow random walk and are inefficient in weak form market efficiency. The stock market might be predictable and so there might be feasibility to take advantage of the price movement. Therefore, it is feasible for investors and traders to earn abnormal return in Malaysia stock market by utilizing the historical information.
format	Thesis
qualification_name	other
qualification_level	Master's degree
author	Heng, Cheat Yee
author_facet	Heng, Cheat Yee
author_sort	Heng, Cheat Yee
title	Testing market efficiency in Malaysia's large, medium and small stock market indices
title_short	Testing market efficiency in Malaysia's large, medium and small stock market indices
title_full	Testing market efficiency in Malaysia's large, medium and small stock market indices
title_fullStr	Testing market efficiency in Malaysia's large, medium and small stock market indices
title_full_unstemmed	Testing market efficiency in Malaysia's large, medium and small stock market indices
title_sort	testing market efficiency in malaysia's large, medium and small stock market indices
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2020
url	https://etd.uum.edu.my/10409/1/depositpermission-not%20allow_s825513.pdf https://etd.uum.edu.my/10409/2/s825513_01.pdf https://etd.uum.edu.my/10409/3/s825513_02.pdf https://etd.uum.edu.my/10409/4/references_s825513.docx
_version_	1776103810791374848

Testing market efficiency in Malaysia's large, medium and small stock market indices

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