Testing for Efficient Market Hypothesis on Malaysian’s Stock Market: Does Crisis Regime Matter?

Authors

  • Norimah Rambeli Faculty of Management and Economics, Universiti Pendidikan Sultan Idris
  • Dayang Affizzah Awang Marikan Faculty of Economics and Business, Universiti Malaysia Sarawak
  • Asmawi Hashim Faculty of Management and Economics, Universiti Pendidikan Sultan Idris
  • Jan M Podivinsky School of Economic, Social and Political Science, University of Southampton
  • Nooraisah Katmon Faculty of Management and Economics, Universiti Pendidikan Sultan Idris

DOI:

https://doi.org/10.33736/ijbs.5213.2022

Keywords:

Financial Liberalization, Stock Market Efficiency Hypothesis, Global Financial Crisis

Abstract

In the context of the recent financial crisis, there has been growing questions about improving the efficiency of the stock market through liberalization. Although many researchers have studied the empirical effects of financial liberalization on stock market efficiency, consistent conclusions remain elusive. This paper aims to study the long and short-run relationship between financial liberalization and stock market efficiency before and after the global crisis strike in Malaysia. Specifically, Autoregressive Distributed Lag (ARDL) is the main econometric technique applied to explore this study. This study uses quarterly time series data over the period from 1998Q1 to 2020Q4. The findings revealed that financial openness and trade openness affect the stock market positively in the short and long term. In conclusion, these results indirectly support the efficient market hypothesis in Malaysia. Findings provide some policy implications in which the country should reinforce the prerequisites of openness to avoid the potential of initial crisis by equipping in an appropriate manner to minimize the short-term costs of liberalization to achieve long-term benefits.

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Published

2022-12-19

How to Cite

Norimah Rambeli, Dayang Affizzah Awang Marikan, Asmawi Hashim, Jan M Podivinsky, & Nooraisah Katmon. (2022). Testing for Efficient Market Hypothesis on Malaysian’s Stock Market: Does Crisis Regime Matter?. International Journal of Business and Society, 23(3), 1813–1831. https://doi.org/10.33736/ijbs.5213.2022