IDEAS home Printed from https://ideas.repec.org/p/nom/nubsmc/2009-05.html
   My bibliography  Save this paper

Unexpected Volatility Shifts and Efficiency of Emerging Stock Market: The Case of Malaysia

Author

Abstract

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.

Suggested Citation

  • Elgilani E. Elshareif & Akram S. Hasanov & Hui-Boon Tan, 2009. "Unexpected Volatility Shifts and Efficiency of Emerging Stock Market: The Case of Malaysia," NUBS Malaysia Campus Research Paper Series 2009-05, Nottingham University Business School Malaysia Campus.
    • Handle: RePEc:nom:nubsmc:2009-05
    as

    Download full text from publisher

    File URL: http://ssrn.com/abstract=1389342
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.

    More about this item

    Keywords

    Efficiency; Volatility shifts; Emerging stock market; ICSS-EGARCH-M approach;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nom:nubsmc:2009-05. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rasyad A. Parinduri (email available below). General contact details of provider: https://edirc.repec.org/data/bsnotmy.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.