A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break | Science Publications

Chin W. Cheong

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A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break | Science Publications

机译：结构性断裂下马来西亚证券交易所的部门效率分析科学出版物

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> We investigated the weak-form market efficiency of nine daily sectoral indices of Malaysian stock market between 1996 and 2006. The structural break unit root tests evidenced most of the price indices characterized by mean-reverting process that violated the random walk process. These empirical results were in sharp contrast with the traditional unit-root test which ignored the economic crisis and currency control. Our findings concluded that the Malaysian sectoral stock markets were weak-form inefficient (except the property index) under the structural change.

机译： >我们调查了1996年至2006年马来西亚股票市场的9种每日行业指数的弱形式市场效率。结构性折损单位根检验证明，大多数价格指数均具有均值回复过程，这违反了随机游走过程。这些经验结果与传统的单位根检验形成鲜明对比，传统的单位根检验忽略了经济危机和货币管制。我们的调查结果得出结论，在结构性变化下，马来西亚的部门股票市场是弱形式的低效率（房地产指数除外）。

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《American journal of applied sciences》 |2008年第10期|共页
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Chin W. Cheong;
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A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break | Science Publications

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