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Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests

Qaiser Munir () and Kasim Mansur ()

Economics Bulletin, 2009, vol. 29, issue 2, 1359-1370

Abstract: 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.

Keywords: Efficient Market Hypothesis; Threshold Autoregressive Model; Unit Root. (search for similar items in EconPapers)
JEL-codes: C3 G0 (search for similar items in EconPapers)
Date: 2009-06-08
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