English, Article, Journal or magazine article edition: Unexpected Volatility Shifts and Efficiency of Emerging Stock Market: The Case of Malaysia Elgilani E. Elshareif; Akram S. Hasanov; Hui-Boon Tan

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Bookmark: http://trove.nla.gov.au/version/11756
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Unexpected Volatility Shifts and Efficiency of Emerging Stock Market: The Case of Malaysia
Author
  • Elgilani E. Elshareif
  • Akram S. Hasanov
  • Hui-Boon Tan
Physical Description
  • preprint
Notes
  • This paper analyzes the behavior of Malaysian stock market during the intervals of high uncertainty. It highlights the impact of unexpected volatility shifts on this small emerging Asian market, in terms of its efficiency and returns, during the past two decades. The purpose of this study is achieved through the Iterated-Cumulative-Sum-of-Squares-in-Volatility model (ICSS-EGARCH-M Model), which is one of the new approaches in market efficiency studies. The empirical results indicate the rejection of efficient market hypothesis for the market when sudden volatility shifts are considered. The results also provide significant empirical evidences for positive risk-return relationship in the exchanges. In addition, the stock market is found to be more sensitive to global than the local events. The asymmetrical responses to good and bad news are also part of the market behavior.
  • Efficiency; Volatility shifts; Emerging stock market; ICSS-EGARCH-M approach
  • RePEc:nom:nubsmc:2009-05
Language
  • English
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