Efficiency Market Hypothesis in an Emerging Market: Does It Really Hold for Malaysia?
2022-10-08
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 usedContinue Reading