/jurnalpengurusan Wed, 12 Oct 2022 04:15:56 +0000 en-US hourly 1 https://wordpress.org/?v=6.9.1 /jurnalpengurusan/article/efficiency-market-hypothesis-in-an-emerging-market-does-it-really-hold-for-malaysia/?utm_source=rss&utm_medium=rss&utm_campaign=efficiency-market-hypothesis-in-an-emerging-market-does-it-really-hold-for-malaysia Sat, 08 Oct 2022 14:43:17 +0000 /jurnalpengurusan/?post_type=article&p=2873 This study revisits the efficient market hypothesis (EMH) with regard to the Kuala Lumpur Stock Exchange (KZSE) at the sectoral level. Based on Liu and Narayan’s (2011) GARCH-based unit-root with structural breaks test, the unit-root null is rejected for all except one sector. By contrast, models based on commonly used unit-root tests that ignore heteroskedastic and/or breaks tend to favour the EMH. We find that the half-life estimates based on the local-persistent model are short, with the majority of them taking less than six months to absorb half a shock. All in all, the indices examined are largely inconsistent with weak-form efficiency, which implies that the returns on equity portfolios are indeed predictable.

]]> /jurnalpengurusan/article/the-co-movement-between-exchange-rates-and-stock-prices-in-an-emerging-market/?utm_source=rss&utm_medium=rss&utm_campaign=the-co-movement-between-exchange-rates-and-stock-prices-in-an-emerging-market Sat, 08 Oct 2022 10:11:40 +0000 /jurnalpengurusan/?post_type=article&p=2435 The aim of this paper is to examine the co-movement between exchange rates and stock prices of both the market and industries (industrial products and consumer products) in Malaysia from March 1994 to December 2013. Motivated by inconclusive evidences of previous studies to support the flow oriented and stock oriented hypothesis, the study applied error correction model including the Long Run Structural Model (LRSM) and variance decompositions to examine the relationship between exchange rates and stock prices. The findings suggest that the direction of causality runs from exchange rates to stock prices which are consistent with flow oriented theory. The influence of exchange rate, however, varies across industries with importing firms appearing as the most affected; indicating that Malaysian market is not homogenous. The major policy implication that can be deduced from the study is that active policy on currency management through monetary instrument (i.e. interest rates) will be helpful to stimulate the development of stock market in emerging countries like Malaysia

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