Hubungan Antara Pasaran Niagaan ke depan indeks saham dengan pasaran saham di malaysia

Noor Yakop

Jurnal Ekonomi Malaysia, 2005, vol. 39, 3-23

Abstract: The present of the lead-lag effect where the index futures leads the stock market in responding to new information is indeed a violation of the efficient market hypothesis.within the context of an efficient market,financial markets are said to react instantaneously and simultaneously toward the arrival of new information.nonetheless,the existence of the lead-lareaffirms the importance of the index futures market in the price discovery process.this paper investigation the relationship between index futures and stock market in Malaysia The objective of this study is to examine the nature of relationship between return (and volality) between the two market. The study uses daily data from january 2000 to october 2003 as reported by the kuala lumpur stock exchange and malaysian derivatives exchange. The cross-correlation as well as the multiple regression analysis and the granger causality test are employed in this study. The result support the presence of the lead-lag effect between the futures are found index and the stock market is responding to new information. however,the presence f the lead-lag effect is not as dominant as the conteporary effect that exists amon the returns (and volality)of the two market. As such,the two market seem to funtion as an integrated system that is efficient.

Date: 2005
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