The distribution of extreme share return in different Malaysian economic circumstances

Marsani, Muhammad Fadhil; Shabri, Ani

doi:10.11113/mjfas.v16n1.1356

Cited by 6 publications

(5 citation statements)

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“…Due to periods of unpredictability and non-random patterns in stock return over the years, the Nigerian stock market's efficiency in the context of emerging markets was evident (Umoru, Udobi-Owoloja, & Nzekwe, 2020). The outcomes are in line with those of the Malaysian stock market in another study by (Marsani & Shabri, 2022), and the Bombay Stock Exchange after dividends announcement (Goyal & Gupta, 2019).…”

Section: Literature Review and Hypothesis Developmentsupporting

confidence: 85%

Empirical Evidence on Testing the Efficient Market Hypothesis in Egypt: Case of Currency Devaluation

El Mosallamy,

Gamal

2024

MSA-Management Sciences Journal

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The impact of economic events on stock markets and their reflection on returns of financial markets, has been an area of profound importance. Hence, based on importance of the currency devaluation on the economic development of countries, this paper aims to investigate the impact of currency devaluation on the Egyptian stock market in 2016 and 2022 and examine if the Egyptian market is efficient. This was examined using parametric and non-parametric unit root tests for stationarity. Moreover, ARCH(Autoregressive Conditional Heteroskedasticity)and EGARCH(Exponential Generalized Autoregressive Conditional Heteroscedasticity)models were conducted on two indices EGX100 and EGX30.The results indicate the stationarity of returns regardless of market events. The findings are important to policymakers and investors to evaluate and forecast market movements. The chosen Egyptian context is justified due to insufficient research conducted on the Egyptian market and the controversial findings of existing literature on emerging markets in general and the Egyptian market in specific.

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Section: Literature Review and Hypothesis Developmentsupporting

confidence: 85%

Empirical Evidence on Testing the Efficient Market Hypothesis in Egypt: Case of Currency Devaluation

El Mosallamy,

Gamal

2024

MSA-Management Sciences Journal

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“…With this, the investment of the portfolio had been common among the investors where the investors tend to benchmark the inflation rate as the required rate of return to invest (Yeoh, 2022). Malaysian stock market exchange on Bursa Malaysia had been referred as one of the biggest stock market exchange in South East Asia (SEA) where the investors tend to be confident in the return on the stock investment (Marsani et al, 2022). Therefore, it is important to assess the market growth rate to explore the possibility for the investors to be on the gaining side against the rising inflation rate over the time (Trihadmini & Falianty, 2020).…”

Section: Introductionmentioning

confidence: 99%

To Study Inflation Impact in Malaysia Against the Stock Portfolio Investment in Bursa Malaysia

Yeoh

2023

ISS

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Background: The rising of the inflation had triggered to need to choose the right investment to beat the inflation. The study will focus on the potential impact in investing in diversified stock portfolio within the stock market exchange in Bursa Malaysia. Aim: The goal of the research is target to understand the potential existence of the positive correlation and relationship between the KLSE market index and the inflation rate through the CPI. Method: The quantitative analysis method will be conducted to study the historical data based on the past 20 years’ trend of data from both inflation rate through CPI as well as the KLSE market index. The average yearly growth for the past 20 years performance will also be assessed to understand the comparison on the growth of the inflation and market index. Findings: The findings had observed that the investment for the portfolio investment representing through the KLSE market index had not been sharing the significant positive correlation and relationship with the inflation rate on CPI. However, the growth rate on average had obsvered higher rate of return on KLSE market index which is 5.666% over the inflation rate through CPI that recorded only 2.018% indicating that the investment in diversified stock portfolio will obsvered greater return to cover for the inflation rate in Malaysia.

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“…Theoretically, market efficiency evaluates how well financial markets consolidate and reflect all available relevant information (El-Diftar, 2024). Accordingly, stock market efficiency refers to the ability of prices to quickly and accurately reflect relevant information, making it impossible for investors to gain unusual returns consistently (Asaad, 2014;Rahimah et al, 2018;Marsani et al, 2022). Market efficiency encompasses three eminent forms: weak, semi-strong, and strong (Garikai Bonga et al, 2023).…”

Section: Introductionmentioning

confidence: 99%

“…Some studies found that stock prices do not follow a random walk (Hawaldar et al, This Journal is licensed under a Creative Commons Attribution 4.0 International License 2017; Ahmed and Hossain, 2019;Houfi, 2019;Al-Faryan and Docker, 2021;Dias et al, 2022). In contrast, others found that the movement of stock prices is unpredictable (Asiedu et al, 2020;Marsani et al, 2022;Zebende et al, 2022). Therefore, the contradiction in the results provides a deep avenue for scientists, researchers, academics, and practitioners to take more interest in this topic and conduct more studies on the subject.…”

Section: Introductionmentioning

confidence: 99%

Regional Stock Market Efficiency at Weak Form after the Covid-19 Vaccination Approval

Saleem,

Mustafa,

Asaad

et al. 2023

IJEFI

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The contradiction in the previous results provides a deep avenue for researchers to take more interest in the stock market efficiency and conduct more studies. Therefore, the study objective is to decide whether the Arab Federation of Exchanges (S&P AFE 40 Index Return) is efficient at weak-form based on normality and random walk hypothesis using several statistics such as the Jarque-Bera test as a parametric technique to check the normality and the Augmented Dickey-Fuller test as a parametric method to test the random walk hypothesis. Moreover, the results are reinforced by six non-parametric techniques to test the normality hypothesis such as the Kolmogorov-Smirnov test, Shapiro-Wilk test, Lilliefors test, Cramer-von Mises test, Watson test, Anderson-Darling test, and four non-parametric techniques such as run test, variance ratio test, Phillips-Perron test, and autocorrelation test to check the random walk hypothesis for daily data after the Covid-19 vaccination program over the period from 31 March 2020 to 31 March 2023, the results of all tests indicated that the market index return is non-efficient at the weak form, and concluded that the investors could analyze the Arab Federation of Exchanges’ past stock prices or other historical data as opportunities to predict future stock prices and earn unusual profits; therefore, Policymakers may further improve access to information to prevent investors from having opportunities to predict stock movements to obtain abnormal returns.

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The distribution of extreme share return in different Malaysian economic circumstances

Cited by 6 publications

References 0 publications

Empirical Evidence on Testing the Efficient Market Hypothesis in Egypt: Case of Currency Devaluation

Empirical Evidence on Testing the Efficient Market Hypothesis in Egypt: Case of Currency Devaluation

To Study Inflation Impact in Malaysia Against the Stock Portfolio Investment in Bursa Malaysia

Regional Stock Market Efficiency at Weak Form after the Covid-19 Vaccination Approval

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