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Non-linear Market Behavior: Events Detection in the Malaysian Stock Market

Author

Listed:
  • Kian-Ping Lim

    (Labuan School of International Business and Finance, Universiti Malaysia Sabah)

  • Melvin J. Hinich

    (Applied Research Laboratories, University of Texas at Austin)

Abstract

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the present study is able to identify major political and economic events that contributed to the short bursts of non-linear behavior. The present framework can be extended to individual firm to examine the adjustment of its stock price to firm-specific events, which will provide deeper insight into issues on corporate finance.

Suggested Citation

  • Kian-Ping Lim & Melvin J. Hinich, 2005. "Non-linear Market Behavior: Events Detection in the Malaysian Stock Market," Economics Bulletin, AccessEcon, vol. 7(6), pages 1-5.
    • Handle: RePEc:ebl:ecbull:eb-05g10005
    as

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    File URL: http://www.accessecon.com/pubs/EB/2005/Volume7/EB-05G10005A.pdf
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    References listed on IDEAS

    as
    1. Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April.
    2. Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
    3. Antonios Antoniou & Nuray Ergul & Phil Holmes, 1997. "Market Efficiency, Thin Trading and Non‐linear Behaviour: Evidence from an Emerging Market," European Financial Management, European Financial Management Association, vol. 3(2), pages 175-190, July.
    4. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Wild, Phillip & Hinich, Melvin J. & Foster, John, 2010. "Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?," Energy Economics, Elsevier, vol. 32(5), pages 1082-1091, September.
    2. Gourishankar S Hiremath & Bandi Kamaiah, 2010. "Nonlinear Dependence in Stock Returns: Evidences from India," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 69-85, January.
    3. Thampanya, Natthinee & Wu, Junjie & Nasir, Muhammad Ali & Liu, Jia, 2020. "Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    4. Vinodh Madhavan & Partha Ray, 2018. "Evolving Efficiency of Dually-Listed Indian Stocks: A Nonlinear Perspective," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 13-35, March.
    5. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.

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