/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.

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