Behavioural finance perspectives on Malaysian stock market efficiency

Abstract

This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behaviouralrelated theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to boundedadaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency.

The relationship between pension funds and the stock market: Does the aging population of Europe affect it?

“…Following the empirical literature (Lo & MacKinlay, 1988;Tuyon & Ahmad, 2016;Urquhart & Hudson, 2013)…”

Extending the Theory of Planned Behaviour: Impact of Past Behavioural Biases on the Investment Decision of Indian Investors

“…Within the literature, researches in the financial market are moving towards the behavioural aspects of investment rather than adhering to the fundamental or traditional approaches (Listyarti & Suryani, 2014;Olokoyo, Oyewo, & Babajide, 2014;Sandberg, Hutter, Richetin, & Conner, 2016). With an alternative perspective looking at human behaviour, the paradigm of behavioural finance can thus shift to looking at other theories that are open to the multidisciplinary understanding of human behaviour (Tuyon & Ahmad, 2016). Such transitions in the finance research serve to uncover several approaches that can validate the fundamentals of behavioural finance.…”

“…While the importance of behavioural finance has been highlighted by scholars (Tuyon & Ahmad, 2016;Chittedi, 2014), there has been a lack of studies that focusses on India. In their observations of the Indian market, Kumar and Goyal (2016) noted that investors followed a rational decision making process when investing but the behavioural biases of the individuals can arise at various stages of the decision making.…”

The Roles of Investor Sentiment in Malaysian Stock Market

“…Equally important the researchers' familiarity and knowledge on the Malaysia financial markets environment which is needed to conduct meaningful research (Bekaert & Harvey, 2002). In addition, evidence of bounded rationality and adaptive weak efficiency of the Malaysian stock market due to behavioural risks is discussed in Tuyon and Ahmad (2016). This research suggests details understanding of behavioural risks in this market is warranted.…”