Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence
Tài liệu tham khảo
Andrews, 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817, 10.2307/2938229
Andrews, 1992, An improved heteroskedasticity and autocorrelation consistent auto covariance matrix, Econometrica, 60, 953, 10.2307/2951574
Annuar, 1993, Weak-form efficiency of the Kuala Lumpur Stock Exchange: an application of unit root analysis, Pertanika Journal of Social Sciences and Humanities, 1, 57
Annuar, 1993
Annuar, 1994, Is Kuala Lumpur's emerging share market efficient?, Journal of International Financial Markets, Institutions and Money, 4, 89
Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrics, 70, 9
Baltagi, 2001
Barnes, 1986, Thin trading and stock market efficiency: The case of the Kuala Lumpur Stock Exchange, Journal of Banking Finance and Accounting, 13, 609
Bashir, 2011, Testing the weak-form efficiency of Pakistani Stock Market - An empirical study in banking sector, European Journal of Economics, Finance and Administrative Sciences, 31, 160
Bodie, 2008
Breitung, 2000, The local power of some unit root tests for panel data, 15, 161
Breusch, 1980, The Lagrange Multiplier test and its applications to model specification in econometrics, Review of Economic Studies, 47, 239, 10.2307/2297111
Brock, 1987
Cabral, 2013, A perspective on the symptoms and causes of the financial crisis, Journal of Banking & Finance, 37, 103, 10.1016/j.jbankfin.2012.08.005
Carrión-i-Silvestre, 2005, Breaking the panels: An application to the GDP per capita, Econometrics Journal, 8, 159, 10.1111/j.1368-423X.2005.00158.x
Cella, 2013, Investors’ horizons and the amplification of market shocks, The Review of Financial Studies, 26, 1607, 10.1093/rfs/hht023
Central Bank of Malaysia (2011). Financial Sector Blueprint 2011-2020.
Cheong, 2008, A sectoral efficiency analysis of Malaysian Stock Exchange under structural break, American Journal of Applied Science, 5, 1291, 10.3844/ajassp.2008.1291.1295
Chiş, 2012, Testing the martingale difference hypothesis in the European emerging unit-linked insurance markets, Procedia Economics and Finance, 3, 49, 10.1016/S2212-5671(12)00119-0
Chudik, 2009, Weak and strong cross section dependence and estimation of large panels, European Central Bank Working Paper Series
Dana, 2013, Technical and fundamental anomalies, paradoxes of modern stock exchange markets, Economic Science Series, 22, 37
Dickey, 1979, Distribution of estimators for autoregressive time series with a unit root, Journal of American Statistical Association, 74, 427
Fama, 1965, Random walks in stock market prices, Financial Analysts Journal, 21, 55, 10.2469/faj.v21.n5.55
Fiordelisi, 2013, Is bank default risk systematic?, Journal of Banking and Finance, 37, 2000, 10.1016/j.jbankfin.2013.01.004
FitzGerald, 2006, Financial development and economic growth: a critical view, Background Paper for World Economic and Social Survey 2006
Gaganis, 2013, Efficiency and stock returns: Evidence from the insurance industry, Bank of Finland Research Discussion Paper
Habibullah, 2005, Bank efficiency and the efficient market hypothesis: The case for bank stock prices in KLSE, Savings and Development, 29, 363
Hadri, 2000, Testing for stationarity in heterogeneous panel data, Econometrics Journal, 3, 148, 10.1111/1368-423X.00043
Hinich, 1995
Howell, 2005
Hubbard, 2008
Im, 2003, Testing for unit roots in heterogeneous panels, Journal of Econometrics, 115, 53, 10.1016/S0304-4076(03)00092-7
International Monetary Fund, 2014, Malaysia financial sector assessment program, financial sector performance, vulnerability and derivatives-technical note, IMF Country Report
Ioannidis, 2008, The relationship between bank efficiency and stock returns: evidence from Asia and Latin America, University of Bath School of Management Working Paper Series
Ito, T. and Hashimoto, Y. (2007). Bank restructuring in Asia: Crisis management in the aftermath of the Asian financial crisis and prospects for crisis prevention. RIETI Discussion Paper Series, 07-E-039. The Research Institute of Economy, Trade and Industry.
Janoudi, 2014, Banking efficiency and stock performance in the EU markets: The impact of the world financial crisis, University of Leicester Working Paper Series
Jomo, K.S. (2005). Malaysia's September 1998 controls: background, context, impacts, comparisons, implications, lessons. G-24 Discussion Paper, No. 36.
Kapetanios, 2003, Testing for a unit root in the non-linear STAR Framework, Journal of Econometrics, 112, 359, 10.1016/S0304-4076(02)00202-6
Kasman, 2011, Efficiency, productivity and stock performance: evidence from the Turkish banking sector, Panoeconomicus, 3, 355, 10.2298/PAN1103355K
Kirkwood, J. and Nahm, D. (2005). Australian banking efficiency and its relation to stock returns. Available at: http://www.econ.mq.edu.au/research/2005/Nahm_kwood_ABE_2.pdf.
Kok, 1995
Kok, 1994, Malaysian second board stock market and the efficient market hypothesis, Malaysian Journal of Economic Studies, 31, 1
Kurozumi, 2002, Testing for stationarity with a break, Journal of Econometrics, 108, 63, 10.1016/S0304-4076(01)00106-3
Kwiatkowski, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, 54, 159, 10.1016/0304-4076(92)90104-Y
Lai, 2003, An examination of the random walk model and technical trading rules in the Malaysian stock market, Quarterly Journal of Business and Economics, 41, 81
Laurence, 1986, Weak-form efficiency in the Kuala Lumpur and Singapore stock markets, Journal of Banking and Finance, 10, 431, 10.1016/S0378-4266(86)80031-0
Levine, 1996, Stock markets: a spur to economic growth, Finance & Development, 7
Levin, 2002, Unit root tests in panel data: asymptotic and finite-sample properties, Journal of Econometrics, 108, 1, 10.1016/S0304-4076(01)00098-7
Levine, 1998, Stock markets, banks, and economic growth, The American Economic Review, 88, 537
Lim, 2008, Sectoral efficiency of the Malaysian stock market and the impact of the Asian financial crisis, Studies in Economics and Finance, 25, 196, 10.1108/10867370810894710
Lim, 2007, Returns predictability of Malaysian bank stocks: Evidence and implications, IJMS, 14, 89
Lim, 2005, Weak-form efficient market hypothesis versus behavioural finance: a different perspective drawn from the Malaysian stock market, IJMS, 12, 1
Liu, 1997, On segmented multivariate regression, Statist Sinica, 1, 497
Maddala, 1999, A comparative study of unit root tests with panel data and a new simple test, Oxford Bulletin of Economics and Statistics, 61, 631, 10.1111/1468-0084.61.s1.13
Miller, M. and Luangaram, P. (1998). Financial crisis in East Asia: Bank runs, asset bubbles and antidotes. Working Paper, No.11/98, Centre for the Study of Globalisation and Regionalisation (CSGR), The University of Warwick.
Munir, 2012, The EMH revisited: Evidence from the five small open ASEAN stock markets, The Singapore Economic Review, 57
Munir, 2009, Is Malaysian stock market efficient? Evidence from threshold unit root tests, Economic Bulletin, 29, 1359
Narayan, 2007, Mean reversion in stock prices: new evidence from panel unit root tests, Studies in Economics and Finance, 24, 233, 10.1108/10867370710817419
Narayan, 2015, Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector, Applied Economics, 47, 2359, 10.1080/00036846.2015.1005828
Narayan, 2004, Is South Korea's stock market efficient?, Applied Economics Letters, 11, 707, 10.1080/1350485042000236566
O’ Connell, 1998, The overvaluation of purchasing power parity, Journal of International Economics, 44, 1, 10.1016/S0022-1996(97)00017-2
Osborne, 2002, Notes on the use of data transformations, Practical Assessment, Research & Evaluation, 8
Perron, 1989, The Great Crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712
Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335
Pesaran, M.H. (2004). General diagnostic tests for cross section dependence in panels. IZA Discussion Paper Series, DP N. 1240, Institute for the Study of Labor, Bonn.
Radelet, S. and Sachs, J. (1998). The onset of the East Asian financial crisis. NBER Working Paper, No.6680.
Ray, 2012, Revisiting the strength of Dow Theory in assessing stock price movement, Advances in Applied Economics and Finance, 3, 591
Stengos, 1992, Testing the efficiency of the Athens Stock Exchange: Some results from the banking sector, Empirical Economics, 17, 239, 10.1007/BF01206285
Sufian, 2007, Banks’ efficiency and stock prices in emerging markets: Evidence from Malaysia, Journal of Asia-Pacific Business, 7, 35, 10.1300/J098v07n04_03
Sufian, 2009, On the efficiency of the Malaysian banking sector: A risk-return perspective, International Journal of Commerce and Management, 19, 222, 10.1108/10569210910987994
Ucar, 2009, Testing for unit root in nonlinear heterogeneous panels, Economics Letters, 104, 5, 10.1016/j.econlet.2009.03.018