Testing a weak form market efficiency : a case of FTSE Bursa Malaysia KLCI / Nurul Farhanah Hazwani Mazalan

Mazalan, Nurul Farhanah Hazwani (2016) Testing a weak form market efficiency : a case of FTSE Bursa Malaysia KLCI / Nurul Farhanah Hazwani Mazalan. [Student Project] (Unpublished)

Abstract

The weak-form of efficient market hypothesis (EMH) suggest that stock price fully reflect all relevant security information in the market such as historical sequence of prices, rates of return and trading volume data. Various studies have been made on testing weak-form market efficiency but the results are mixed. Besides, the study is conducted to investigate whether the selected indexes follow the Random Walk hypothesis or not. Hence, this study is an attempt to test on Bursa Malaysia Stock Exchange where examining whether the market is efficient or random over the period of time of the study. The aim of the study is to examine the efficiency of the weak-form efficient market hypothesis (EMH) on the Bursa Malaysia Stock Exchange. The variables associated are stock market index selected from Bursa Malaysia Stock Exchange towards the market efficiency. Data used in this study are the daily closing price, weekly closing price and monthly closing price which obtained from Bursa Malaysia Stock Exchange that covering the period commencing from 1st January 2011 until December 2015 which taken as the observation period. The indices include is FTSE Bursa Malaysia KLCI (FBMKLCI). Four different statistical test Including descriptive analysis, Augmented Dickey-Fuller (ADF) unit root test, Philips-Perron (PP) unit root test, autocorrelation test and run tests were used in resulting the efficiency of the weak-form EMH.

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Mazalan, Nurul Farhanah Hazwani
2014685672
Contributors:
Contribution
Name
Email / ID Num.
Thesis advisor
Wan Zakaria, Wan Mohd Farid
UNSPECIFIED
Thesis advisor
Samsuddin, Syamsul
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
Divisions: Universiti Teknologi MARA, Johor > Segamat Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (HONS) Finance
Keywords: Stock exchange; stock market
Date: 2016
URI: https://ir.uitm.edu.my/id/eprint/53127
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