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| Qaiser Munir and Kasim Mansur |
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| ''Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests'' |
| ( 2009, Vol. 29 No.2 ) |
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| 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. |
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| Keywords: Efficient Market Hypothesis, Threshold Autoregressive Model, Unit Root. |
JEL: C3 - Time-Series Models
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| Manuscript Received : Apr 29 2009 | | Manuscript Accepted : Jun 08 2009 |
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