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Title: Behaviour of the Kuala Lumpur Stock Exchange 1984-1994 : some comparative, descriptive and inferential analyses
Author: Abdullah, Mat Saad
ISNI:       0000 0001 3390 3052
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 1996
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The behaviour of a nation's stock market is increasingly seen as a barometer of its economic growth, strength and stability. While the behaviour of well established equity markets is well researched and documented, the behaviour of small and developing exchanges is still not much studied. This thesis examines and analyses some aspects of the behaviour of an emerging equity market known as the Kuala Lumpur Stock Exchange (KLSE) - the national stock exchange for Malaysia. To serve as the groundwork for our empirical investigation, this study begins with a survey of the related literature. The literature on efficient market hypothesis (EMH); the literature on various theories and models which are complementary and contradictory to the EMH - are reviewed. Empirically, four major aspects of the behaviour of the KLSE are examined. Using both share price indices and individual company share prices/returns for a sample period 1984:01 through 1994: 12, we study some statistical properties of stock returns, correlations with other markets, stock market forecastability and the presence of mean reversion/mean aversion in stock returns. The behaviour of the KLSE market indices are compared in several respects with the indices of selected developed markets. Our study has resulted a number of findings, some of which could be considered as intriguing and novel for a relatively unresearched market like the KLSE. Similar to many previous researches, our study has provided evidence that the distributions of stock returns are not normal. Rather, they are leptokurtic. Variances/standard deviations of stock returns on the KLSE were found to be large compared with, for example, the New York and London stock exchanges, but the realised returns were not significantly different for the period of study. The KLSE is found to be positively correlated with most foreign exchanges, although these correlations are far from unity. These correlations however, are not constant/stable through time. Our evidence also suggests that the Malaysian market tends to exhibit strong regional links. Additionally, the KLSE appears to have significant lagged correlations with a number of developed exchanges. Three equity markets are identified as the most influential foreign exchanges to the KLSE in terms of their comovements (and/or lagged correlations). They are, the Stock Exchange of Singapore, the Hong Kong Stock Exchange and the New York Stock Exchange. We found no evidence that the "forecastability" of stock prices/returns on the KLSE could be improved when an 'out-of-sample' forecasting procedure known as the multi-process models was employed. Moreover, we have found that the returns for some stocks are more forecastable than others. Variance ratio tests indicate that over long horizons, some stocks listed on the KLSE tend to exhibit mean reversion, some are mean aversive and the rest seem to follow a random walk. The present research has also raised a number of issues which might be interesting for further study. These issues are discussed in Chapter Seven of the thesis.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance