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Qaiser Munir and Kasim Mansur
 
''Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests''
( 2009, Vol. 29 No.2 )
 
 
This paper investigates the behavior of Kuala Lumpur Stock Exchange Composite Index (KLCI) for the period from 1980:1 to 2008:8 using a two-regime threshold autoregressive (TAR) model with an autoregressive unit root developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrics 69 (6) (2001) 1555-1596] which allows testing nonlinearity and nonstationarity simultaneously. Our finding indicates that the KLCI is a nonlinear series that is characterized by a unit root process, consistent with the efficient market hypothesis.
 
 
Keywords: Efficient Market Hypothesis, Threshold Autoregressive Model, Unit Root.
JEL: C3 - Time-Series Models
G0 - Financial Economics: General
 
Manuscript Received : Apr 29 2009 Manuscript Accepted : Jun 08 2009

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