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- W30715564 abstract "The recent Asian currency crisis has revived the debate about the efficacy of the weak-formefficient market hypothesis as an appropriate tool for testing the volatility of thestock markets. This is because the idea that securities markets are efficient is afundamental factor that affects not only the investment decisions but also all financialdealings in financial business. This study tested the weak-form version of efficientmarket hypothesis using the generalized autoregressive conditional heteroskedastic(GARCH) model on the monthly data of returns of stocks of listed under Kuala LumpurStock Exchange Market for the period 1994-99.In the pre-crisis results, GARCH effect was evident in 24 out of 30 companies(80%), suggesting that homoskedasticity (constant variance) hypothesis is rejected. Inaddition, the diagnostic test results indicated that the residuals were found to beuncorrelated for 26 out of 30 companies, while only 19 companies (63%) found to be tobe normally distributed.The results of GARCH model during the crisis period were less evident, only 14out of30 companies (slightly less than 50%) exhibit GARCH effect. Beside this, duringthe crisis period, only 20 out of 30 companies were not normally distributed, whereas 28out of 30 companies have shown no autocorrelation, suggesting that weak form markethypothesis cannot be rejected. The results suggest that the characters of time series ofthe two periods have changed substantially during the crisis period but as the diagnostictest has shown, we cannot reject the weak form efficient market hypothesis for bothperiods." @default.
- W30715564 created "2016-06-24" @default.
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- W30715564 date "2001-01-01" @default.
- W30715564 modified "2023-09-27" @default.
- W30715564 title "Market Efficiency in the Kuala Lumpur Stock Exchange:Further Evidence Using Garch Model" @default.
- W30715564 hasPublicationYear "2001" @default.
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