Efficient market hypothesis : evidence from asean-5 countries

Wong, Yeong Der (2011) Efficient market hypothesis : evidence from asean-5 countries. [Final Year Project Report] (Unpublished)

[img] PDF
Yeong Der(24 pgs).pdf

Download (830kB)
[img] PDF (Please get the password from Technical & Digitization Management Unit, ext: 082-583913/ 082-583914)
Yeong Der(fulltext).pdf
Restricted to Registered users only

Download (1MB)


This study applies a number of univariate unit root tests (conventional unit root tests and Lagrange Multiplier (LM) unit root test with two breaks) for time series data to determine the efficient market hypothesis (EMH) in five ASEAN countries which consists of Indonesia, Malaysia, Philippines, Thailand and Singapore. The daily closing price spanning from January 2, 1997 until December 31, 2010 for each of the countries is utilized the stationarity tests. The study found that both the conventional unit root tests and LM unit root test with two breaks failed to reject the random walk hypothesis. This implies all the tested stock markets are non-stationary and efficient under weak form hypothesis. On the other hand, the break dates detected endogenously under LM unit root test occur around the actual market crash date.

Item Type: Final Year Project Report
Additional Information: Project Report (B.Sc.) -- Universiti Malaysia Sarawak, 2011.
Uncontrolled Keywords: Finance--Developing countries, Stock exchanges--Developing countries, Capital market--Developing countries, Investments Foreign--Developing countries, Universiti Malaysia Sarawak, UNIMAS, university, university, education, research, Sarawak, Malaysia, kuching, samarahan, borneo, undergraduate
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 05 Feb 2015 00:45
Last Modified: 08 Sep 2021 08:40
URI: http://ir.unimas.my/id/eprint/6412

Actions (For repository members only: login required)

View Item View Item