(both from Universiti Pertanian Malaysia , UPM) and Dr . Mohamed. Ariff of the ... Hussein ,. Dean , Faculty of Economics and Management , UPM, who provided ...
UNIVERSITI PUTRA MALAYSIA
THE EFFICIENT MARKET HYPOTHESIS AND THE THINLY TRADED KUALA LUMPUR STOCK EXCHANGE: TESTS WITH APPROPRIATE REFINEMENTS
ANNUAR MD NASSIR
FEP 1991 3
THE EFFICIENT MARKET HYPOTHESIS AND THE THINLY TRADED KUALA LUMPUR STOCK EXCHANGE: TESTS WITH APPROPRIATE REFINEMENTS
ANNUAR MD NAS S IR
DOCTOR OF PHILOSOPHY UNIVERSITI PERTANIAN MALAYS IA
1991
THE EFFICIENT MARKET HYPOTHESIS AND THE THINLY TRADED KUALA LUMPUR STOCK EXCHANGE: TESTS WITH APPROPRIATE REFINEMENTS
by ANNUAR MD NAS SIR
The s i s Submitted in Ful fi lment o f the Requirements for the Degree o f Doctor o f Philosophy in the Faculty o f Economics and Management , Univers i t i Pertanian Malays ia .
December
1991
ACNOWLEDGEMENTS
wri' ting this part of the dissertation s ignalled a
seemingly
impossible
and
e laborate
an end to that
task
of
completing the Ph . D . programme . I
am
Professor
very grateful to my Ph . D . committee , cons i s t ing Dr .
Mohamed Ismai l Ahmad , Dr .
(both from Univers i t i Ariff
of
the
Shaari
Abdul
Department of
his
for
cons tructive
Finance
and
Banking ,
National
invaluable
critic isms
Mohamed
encouragement
guidance ,
o f the var ious aspects
of
the
leading to the comp letion o f this dissertation. I have bene fi ted
from
Department
of
S ingapore ,
for
his
Hamid
Pertanian Malays ia , UPM) and Dr . Mohamed
Univers i ty of S ingapore ( NUS ) . A spec ial thanks to Dr . Ar iff ,
of
valuable
Finance which
help
whi l e
and Banking , I
express my
a ttached
National s incere
work
greatly to
the
University thanks
Univers i ty authorities , the s taff o f the Department o f
and
to
of the
Finance
and Banking and Associate Professor Dr . Wong Kie Ann , the
head
of the department . This people
research
whom
I
has bene fited from the
wish to name ,
Zainal
help
Ab idin
of
Kidam
numerous and
research ass i s tants , Dr . Zab id Abdul Rashid , Dr . Zainal Mohamed ,
his
Ab idin
Dr . Shamsher Mohamed , and Sal 1eh Yahya , all from UPM ,
and to all those who have contributed in comp l e tion of this dissertation . ii
anyway
towards
the
A
spec ial
Hus s e in ,
apprec iation goes to Professor Dr . Mohd
Dean , Faculty of Economics and Management ,
Ariff
UPM ,
who
provided constant encouragement throughout the period of s tudy . A the
special thanks to the s taff of the research Kuala
Secur i ty
Lumpur Clearing
S tock
Exchange Berhad
Automated
Network
and
Services
department , s taff
of
of the
Sdn . Bhd . for
providing the bas ic data .
Las t ,
but
not leas t ,
a spec ial dedication to
my
wife ,
Hafizah Ismail and my three chi ldren , Akid , Afiq and Afham
for
the ir understanding and continuous encouragement throughout the long and lonely period of s tudy .
iii
TABLE OF CONTENTS Page ACKNOWLEDGEMENTS L I ST O F TABLES L I ST OF FIGURES ABSTRACT .. .. ABSTRAK
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ii vii x xii xvi
CHAPTER I
OBJECTIVES AND BACKGROUND Research Problem De finition . Jus t ification and Use ful lness o f S tudy Research Process and Plan . . Outl ine o f the The s i s .
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THE EFFICIENT MARKET HYPOTHESI S: THEORIES AND EVIDENCE Introduct ion . . . Effic ient Market Hypothe s i s (EMH) Early Ideas o f Random Walk . Effic ient Marke t Hypo the s is : Further Development . . Tests and Evaluation o f EMH EMH Tests . . . . EMH Evaluated . Evidence on EMH EMH and the Developed Secur i t ies Marke ts . . EMH and the Deve lop ing Securities Marke ts with Recent His tory . EMH and the Kuala Lumpur S tock Exchange .. . EMH and the Development of Securi ty Market . , . . . . . . . . . . . . . . . ,. . . .
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34 40 47
DATA , RESEARCH DESIGN AN D METHODOLOGY Introduc tion . Data Set Research Des ign and Methodology Mode l Specifications . Kolmogorov- Smirnov D-tes t Weak- form Tes ts . . . Tests o f Semi-strong form .
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Efficiency . . Tests of S trong- form Effic iency Tes t Hypo theses . Summary " ................. .
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RESULTS OF WEAK - FORM EFFICIENCY Introduc tion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . An Overview o f the KLS E . . . . . . . . . . . . . . . . . . . Historical Background Market S tructure and Growth Trading Prac t ices . . Commiss ion S tructure . Frequency of Trading S ome Prel iminary Invest igation . . Weak- form Test Results Average Ser ial Correlat ion Results : Q - statist ics Individual Serial Correlat ion Resul ts Cash Equivalent Resul ts . . . . . . . . . . . . . . A Crit ique . . Uni t Roo ts Analysis . . Summary .
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97 98 98 103 106 106 107 110 117 118 123 125 128 128 133
S EMI - STRONG FORM EFFICIENCY TEST RESULTS Introduction . ... . Errors Due t o Index Chosen . Results . . Marke t Adj us ted Re turns : Earnings Announcements . . Market Adj usted Returns: D ividend Announcements .. Risk- adj us ted Re turns: Discuss ion One A Comparison . .. Earnings Announcements . Dividend Announcements . Risk- adj usted Re turns using the DFR Correc ti on Technique - D iscussion Two Earnings Announcements . . . . . . . . . . . Dividend Announcements D ifferences i n Thinly Traded and Nonthinly Traded S tocks . Summary .
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A TEST O F STRONG - FORM EFFIC I ENCY Introduction Results One Marke t Adj us ted Re turns Risk- adj usted Re turns .
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Resul ts Two Risk-Adj us ted wi th DFR Correc tion Swnmary Comparison of Overall Findings wi th Other Marke ts in Particular the S tock Exchange of Singapore ( SES ) Weak- form Efficiency Semi-s trong form Efficiency Comments .
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CONCLUSIONS , L IMITATIONS AND SUGGESTIONS FOR FURTHER RESEARCH Introduction Swnmary o f Findings Weak- form Effic iency Semi- s trong form Efficiency S trong - form Efficiency Possible Limitations Sugges t ions for Further Research Imp l ications o f S tudy .
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206 208 208 211 213 213 215 217 219
REFERENCES APPENDICES A
L i s t of Companies and Abbreviation Used in the S tudy Beta o f Individual Companies ( OLS and DFR) KLS E Compos ite Index and NST Indus trial Index Component Companies D ickey - Fuller Critical Values .
B C
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240 248 255 259 261
VITA
vi
LIST OF TABLES Table 1
Page Classi fication of the Three Levels of EMH into Three P o tential Degrees . . . . . . ..........
33
Composition and Marke t Capi talisation o f Each Sector i n KLS E: End 1 9 8 9 . . . . . . . . . . . . . . . . .
101
Growth in Number o f Companies , Market Capi talisation and Paid-up Capital over 1 9 7 5 - 19 8 9 : Malaysian Ringgit . . . . . . . . . . . . . . . . . .
104
Annual Volume of Trading on the KLS E over 1 9 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
108
Mean and S tandard Deviation of Volume Measure (Marke t Thinness Index) of Each Portfo lio Decile on the KLS E over 19 7 5 1989 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
110
Summary S tati s tics of Various Indus try Sectors and Portfolio Deciles : 1 9 7 5 - 1 9 8 9
112
Q - S tatistic Values of Various Indus try S ec tors and Portfo lio Deciles: 1 9 7 5 - 1 9 8 9
119
Sub-period Q - S tatistic Values o f Various Industry Sectors and Portfo lio Deciles: 1 97 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
120
Q - S tatistic Values of the 30 Component S tocks of the NST Indus trial Index over 1 9 7 5 - 19 8 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
122
Individual Serial Correlation o f Twelve Lags for Various Indus try Sectors and Portfo lio Deciles over 197 5 - 1 9 8 9 : Percent Significant . . . . . . . . . . . . . . . . . . . . . . . .
123
Individual Serial Correlation o f Twelve Lags for the 30 Component S tocks o f the NST Indus trial Index over 19 7 5 - 1 9 8 9 : Percent Significant . . . . . . . . . . . . . . . . .........
124
Q - S tati s tic Values o f the Ten Deciles based on Log Cash Equivalent Re turns over 1 9 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
126
.
2 3
4
5
6 7 8
9
10
.
11
.
.
12
vii
.
.
.
13
14 15
16 17
18
Cash Equivalent Returns - Individual Serial Correlation of Various Indus try Sec tors and Portfolio Dec i les over 197 5 - 19 8 9 : Percent S ignificant . . . . . . . . . . . . . . . .
127
Summary of Regress ion Parame ters on Uni t Roots Analysis: 19 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . .
130
Summary of Uni t Roo t Regress ions on 8 2 S tocks: 19 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . . . . . . . .
132
B e t a Values of Portfolio Deci les on the KLSE over 1 9 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . . . . .
139
Market Adj us ted ARs around Earnings Announcements on the KLSE over 1 9 7 5 - 19 8 9 : S ample One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
143
Marke t Adj usted ARs around Earnings Announcements on the KLSE over 1 97 5 - 1989 : S amp le Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
..
147
Marke t Adj usted ARs around D ividend Announcements on the KLSE over 1 97 5 - 1989 : Sampl e One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
150
Market Adj usted ARs around Dividend Announcements on the KLSE over 1 9 7 5 - 19 8 9 : S ampl e Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
154
Risk-adj us ted ARs around Earnings Announcements on the KLSE over 19 7 5 - 1 9 8 9 : S ample One . . . . . . . . . . . . . . . . ......... .......
157
Risk- adj usted ARs around Earnings Announcements on the KLSE over 19 7 5 - 1 9 8 9 : S ample Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
160
Risk- adj usted ARs around Dividend Announcements on the KLSE over 19 7 5 - 1989 : S ample One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
164
.
19
.
.
.
.
.
20
.
21
.
22
.
.
.
23
.
.
.
24
.
Risk- adj us ted ARs around Dividend Announcements on the KLSE ove r 1 97 5 - 1 9 8 9: S ample Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
167
Risk- adj usted ARs (with DFR Correction) around Earnings Announcements on the KLSE over 19 7 5 - 19 8 9 : Sample One . . . . . . . . . .
170
.
25
.
viii
.
.
.
.
.
�
.
.
.
26
27
28
Risk-adj us ted ARs (with DFR Correction) around Earnings Announcements on the KLS E over 19 7 5 - 1989 : Sample Two . . . . . . . . . . . . . . . . . . . .
174
Risk- adj us ted ARs (with DFR Correction) around Dividend Announcements on the KLS E over 19 7 5 - 1 9 8 9 : S ample One . . . . . . . . . . . . . . . .
...
177
Risk-adj usted ARs (with DFR Correct ion) around Dividend Announcements on the KLSE over 19 7 5 - 19 8 9 : Samp le Two . . . . . . . . . . . . . . . . . . .
180
Results o f the Wilcoxon S i gned-ranks test on ARs of Earnings Increases and Decreases , and Dividend Increases and Decreases . . . . . . . . .
182
Results o f the Wilcoxon S igned-ranks Tes t on ARs (with DFR Correc tion) o f Earnings Increases and Decreases , and D ividend Increases and Decreases . . . . . . . . . . . . . .
183
Market Adj us ted and Risk- adj us ted ARs around " S tock o f the Month" Announcements on the KLSE over 19 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . .
191
Risk-adj usted ARs (with DFR Correc t ion) around " S tock of the Month" Announcements on the KLSE over 19 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . .
194
Individual Serial Correlations o f Lag s (s 1 , 2 , . . . . 1 2 ) o f the Component S tocks of the NST Indus trial Index: 1 9 7 5 - 1 9 8 9 . . . . . . . .
198
Individual Serial Correlat ion Findings of Koo ( 19 8 3 ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
199
Individual Serial Correlation Results of Hwang and Finn ( 19 8 3 ) . . . . . . . . . . . . . . . . . . . . . . . . .
199
.
.
29
.
30
31
32
33
-
34 35
ix
LIST OF FIGURES F i gure 1
2 3 4
5 6 7
8
9
10
11
12
13
Page Marke t S ize Relative to Gross National Product and Income between Emerging and Deve loped Markets : 1 9 8 7 . . . . . . . . . . . . . . . . . .
103
Growth in Vo lume of Trading on the KLSE over 1 9 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
108
Log Re turns Behaviour of the Leas t Ac t ively Traded Portfo l io ( P 1 ) . . . . . . . . . . . . . . .
115
Log Returns Behaviour of the Moderately Traded Portfol io ( P 5 ) . . . . . . . . . . . . . . . . . . . . . . . .
115
Log Returns Behaviour of the Mos t Act ive ly Traded Portfo l io ( P10 ) . . . . . . . . . . . . . .
116
Log Re turns Behaviour of the NST Indus tr ial Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
116
Marke t Adj us ted CAR around Earnings Announcements on the KLSE over 1 97 5 - 1 9 8 9 : Samp l e One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
144
Market Adj us ted CAR around Earnings Announcements on the KLSE over 19 7 5 - 1989 : Sampl e Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
148
Market Adj us ted CAR around D ividend Announcements on the KLSE over 1 9 7 5-1989 : Samp le One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
151
Market Adj us ted C AR around D ividend Announcements on the KLS E over 1 9 7 5 - 19 8 9 : Sample Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
155
Risk- adj us ted CAR around Earnings Announcements on the KLSE over 19 7 5 - 19 8 9 : Sample One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
158
Risk - adj us ted C AR around Earnings Announcements on the KLSE over 1 9 7 5 - 19 8 9 : Sample Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
161
Risk- adj us ted C AR around D ividend Announcements on the KLSE over 1 97 5 - 1 9 8 9 : Sample One . . . . . . . . . . . . . . . . . . . . . . . . . . . . . '" . . . ,
165
x
14
Risk- adj usted CAR around Dividend Announcements on the KLS E over 1 9 7 5 - 19 8 9 : Sample Two . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
168
Risk- adj us ted CAR with DFR Correct ion around Earnings Announcements on the KLS E over 19 7 5 - 1989 : Sample One . . . . . . . . . . . . . . . .
171
Risk- adj usted CAR with DFR Correction around Earnings Announcements on the KLSE over 1 9 7 5 - 19 8 9 : Samp le Two . . . . . . . . . . . . . . . . . .
175
Risk - adj us ted CAR wi th DFR Correction around D ividend Announcements on the KLSE over 1 9 7 5 - 1 9 8 9 : Sample One . . . . . . . . . . . . . . . . . . .
178
Risk- adj usted CAR with DFR Correction around D ividend Announcements on the KLSE over 1 9 7 5 - 19 8 9 : Sample Two . . . . . . . . . . . . . . . . . . .
181
Marke t Adj u s ted and Risk- adj us ted CAR around "S tock o f the Month" Announcements on the KLSE over 1 97 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . .
192
Risk- adj usted CAR (with DFR Correction) around "S tock of the Month" Announcements on the KLSE over 1 9 7 5 - 1 9 8 9 . . . . . . . . . . . . . . . . . . .
194
Abnormal Returns around Earnings Announcements: 19 7 3 - 1 9 8 2 In the S ingapore S tock Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . . .
203
Abnormal Returns around D ividend Announcements : 1 97 3 - 1 9 8 2 In the S ingapore S tock Exchange . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
203
Risk - adj usted CAR around Earnings Announcements for Aus tralia over 1 96 3 - 1 9 7 2
204
Risk- adj us ted CAR around D ividend Announcements for Austral ia over 19 6 3 - 1 9 7 2
204
Risk- adj usted CAR around Earnings Announcements for New Zealand over 196 9 1979 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
205
Risk- adj us ted CAR around Earnings and Subsequent D ividend Announcements for New Zealand over 1 9 6 9 - 1 9 7 9 . . . , . . . . . . .. . . . .
205
.
15
.
.
.
16
.
.
.
17
18
19
20
21
.
22
.
.
.
23 24 25
26
xi
Abs tract o f the s is submitted to the Senate o f Univers i t i Pertanian Malays i a i n fulfilment of the requirements for the degree of Doctor of Phi losophy .
THE EFFIC IENT MARKET HYPOTHESIS AND THE THINLY TRADED KUALA LUMPUR STOCK EXCHANGE : TESTS WITH APPROPRIATE REFINEMENTS
By ANNUAR BIN HD NASSIR
December 1 9 9 1
Supervisor : Mohamad Ari ff , Ph . D .
Facul ty : Economics and Management
S tudies the
on the Efficient Market Hypothe s i s (EMH) in
deve loped
mixed
and developing cap i tal
evidenc e .
incorrectly
EMH
priced
oppor tuni ties
which
presupposes
secur i t ies
and
markets an
have
ab i l i ty
prof itable
move the marke t towards
inves tors
reac tion to relevant information .
de tect
arb itraging
e fficiency .
Thi s
unbiased
means
cannot cons i s tently prof i t from any de lays in
adj us tment reflecting new information .
xii
The
purported
to provide evidence that securities marke t prices are the i r
revealed
to
early emp ir ical work on developed secur ities markets
in
both
that price
However , 1980s ,
evidence from
have
subsequent
no t reached such
s tudies , in the early
cons is tent
These
conclu s ion .
s tudies show anomalous price behaviour in secur i t ies
markets :
among o thers , s ize effec ts , turn of the year e ffects ,
week- end
e ffects ,
e tc . , which are argued by some as evidence o f
marke t
inefficienc ie s .
The
Kuala Lumpu r S tock Exchange ( KLS E ) be ing
i l l i qu id provides a su i table thinly of
small
setting to evaluate the EMH in
traded scenario . In prior s tudies on market
the
KLSE ,
no attemp t was made
thinne s s .
In
order
portfo l i o
dec iles
to
and
control
to for
control market
a
e fficiency market
for thinne s s ,
of KLS E l is ted s tocks which differ
ten
in
the
degree of market thinnes s were created . The s tandardised volume of
trading was proxied as a su i table indicator
for
measuring
the
weak- form
which
measures
market thinne s s . Three
tes ts
e fficiency the
of
average
correlations
were performed to
the
KLS E : ( i )
serial
Q - s tatistic
correlations ,
analys i s
( for
evaluate
( ii)
individual
12 lags ) and
( iii)
unit
s erial roo t s
analys i s . Tes t resu lts o n s ix equally-we ighted dividend - di s tr ibuted indus try the
KLSE
Indu s tr ial
s ec tor
portfol ios , two
Compos i t e Index Index)
and
exis t ing
and the New
S traits
an equally - we ighted
xi i i
indices T imes
(name ly (NST)
marke t ·portfo l io
( � t ) indicate that the
two
indus try
average
the KLSE Compos ite , the NST Indus trial and sec tors (hote l correlations
serial
e ffic iency . Resul ts on the
degree
three
of
exhib i t
weak- form
the
market average
serial
90
percent
For
tin
sectors )
cons is tent
with
portfo l ios
which
thinness
e ffic iency .
results ,
ten
and
showed
that
correlat ions
weak- form differ al l
on
except
cons i s tent
serial
individual
exhib i t
with
correlation
of the 30 component s tocks
of
the
Indus trial Index showed price behaviour cons i s tent with
NST
random
walk or weak- form efficiency . A from
uni t roo t tes t was app l ied us ing
each
of
the ten portfo l i o
a sample
dec iles.
The
of
s tocks
D ickey - Fuller
tes t of s i gnificance sugges ted that current prices are the best estimates current lag
o f future prices . An average of 87 percent price
behaviour
of
is explained by the immediate
the
price
var iable .
To
evaluate
the
form
sem i- strong
e fficiency ,
an
infrequently traded sample (Sample One ) and a frequently traded samp l e were
(Sample used
Two ) of annual earnings and
to s tudy price react ions
Three methods were used to estimate market
adj us ted
r isk- adj us ted
to
dividend
information
incorporating the
D imson ,
Rorke ( DFR) corrections for thin trading b ias . x iv
arr ival.
the res idual returns :
returns , the risk - adj us ted re turns
returns
changes
the
and
the
Fowler
and
The
findings
suggests that ( i )
earnings
and
dividend
announcements contain informat ion relevant for secur i ty pric ing and
( i i ) the market antic ipates the informat ion
the se
announcements
announcement . announcement of
marke t
There
contained
in
three to four months
before
the
actual
were ,
s i gni ficant
pos t -
res iduals
occas ionally ,
which
ine ffic ienc ies :
may
thi s i s
b e inte rpreted as generally
true
pocke ts for
the
infrequently traded sample (Sample One ) .
To made
complete
the previous inve s t igation , an attempt was
to evaluate the strong - form e fficiency of the KLSE
sample
of
" s tock of the month" recommendations .
appear
to
support the no t ion that the marke t
is
The
us ing results
s trong - form
inefficient .
with
The
overall findings o f thi s s tudy are no t
the
weak- form and semi - s trong form
act ively
traded
portfo l ios
EMH
( s tocks ) . The re
incons is tent
espec ially is
evidence
for of
ine ffic ienc ies in the thinly traded portfo l ios ( s tocks ) at
the
margin .
Further work is needed to disentangle the
for
del ayed
immediacy
However ,
the
in
the pric ing o f
evidence
of
thinly
s trong - form
pronounc e d .
xv
reward
traded
stocks .
ine ffic iency
is
Abs trak tesis yang dikemukakan kepada S enat Universiti Pertanian Malaysia sebagai memenuhi syarat untuk Ij azah Doktor Falsafah .
HIPOTESIS PASARAN CEKAP DAN BURSA SARAH KUALA LUMPUR YANG BERDAGANGAN RENDAH : PELBAGAI UJIAN DENGAN KEHALUSAN YANG SESUAI
Oleh ANNUAR BIN MD NASS IR
December 1 9 9 1 Penye l ia : Mohamad Ar iff , Ph . D .
Fakulti : Ekonomi dan Pengurusan
Kaj ian maj u
dan
terhadap Hipotesis Pasaran
negara
bercampur - campur . harga
sekuri t i
sedang HPC
yang
peluang- pe luang
membangun
mengandaikan
Cekap (HPC ) di
menunj ukkan kebo lehan
tidak menggambarkan
negara
bukti
yang
mengenalpas t i
nilai
mempero lehi keuntungan mel alui
sebenar
dan
arb i traj
yang
mana menggerakkan pasaran menj adi cekap . Kaj ian - kaj ian awal pasaran bahawa
saham harga
kesesuaian berpeluang
negara- negara membangun pasaran sekur i t i bergerak
mengaut
tanpa
bermakna
para
keuntungan secara
tekal
maklumat.
Ini
mengukuhkan
pandangan
b ias
mengikut
pelabur dari
di
tidak
kelambatan
tindakbalas harga sekuri t i terhadap maklumat semasa . Walau bagaimanapun , kaj ian- kaj ian berikutnya , terutama awal
1980an , mendapati bukti - bukt i
xvi
sebal iknya .
di
Kaj ian - kaj ian
ini
menunj ukkan
seperti
kesan
sebagainya ,
gelagat
" anomal i "
dalam
saiz , kesan huj ung tahun ,
yang
telah
dimaj ukan
pas aran
kesan
oleh
sekuriti
mingguan
s e tengah
dan
penye l idik
sebagai bukti bahawa pasaran adalah t idak cekap . Pasaran mempunyai
Saham
Kuala
Lumpur
yang
bersaiz
kec i l
tahap kecairan yang rendah , mewuj udkan
sesuai
untuk
Dalam
kaj ian - kaj ian
ruang
menguj i HPC dalam suas ana dagangan lepas
mengenai
dan yang
yang
kecekapan
tipis . pasaran
Pasaran S aham Kuala Lumpur , me todo logi untuk mengawal ketipisan pasaran
tidak
pasaran
ini , sepuluh dec i l e portfolio
ke tipisan
diamb i lkira . Untuk mengawal
pasaran
masalah
yang
ke tipisan
mempunyai
yang berbez a telah dibentuk .
darj ah
Jumlah
saham
yang didagangkan menj adi proks i ke tipisan dagangan . Tiga
uj ian
telah
dij alankan
untuk
menguj i
hipotes is
pasaran cekap dalam bentuk l emah : ( i ) S tatis tik-Q yang mengukur purata
korelas i , ( i i ) korelas i individu ( 12 lags ) ,
anal i s i s
dan
" unit root " . Keputusan uj ian terhadap enam
portfolio
sektoran , dua indeks pasaran ( Indeks Compos ite KLSE dan Perusahaan
New S trait T imes , NST) dan satu
( iii)
portfo l io
Indeks pasaran
( � t ) menunj ukkan Indeks Composite KLS E , Indeks Perusahaan dan ciri
dua portfo l io sektoran (hotel dan tin)
mempunyai
NST c ir i -
purata korelas i bertekalan dengan HPC dalam bentuk lemah .
Sementara keputusan uj ian sepuluh dec i le portfo l io tuj uh dec i le portfo l io mencerminkan ciri - c ir i xvi i
menunj ukkan
purata· kore las i
yang
menyokong
individu 90
HPC
dalam bentuk
lemah .
Keputusan
3 0 saham komponen Indeks Perusahaan NST
peratus
saham mempunyai gelagat
harga
korelas i
menunj ukkan
bertekalan
dengan
teori "p�rj alanan rambang" atau kecekapan pasaran dalam
bentuk
lemah . Anal i s i s
" unit
root "
telah
dilakukan
terhadap
sampel
saham dari setiap dec ile portfo l io . Uj ian keberkesanan
Dickey
Ful ler menunj ukkan bahawa harga semasa adalah anggaran
terbaik
harga
gelagat
di masa hadapan . Secara puratanya ,
87
peratus
harga semasa dihuraikan oleh variabel terdekat lag harga . Untuk
menguj i HPC dalam bentuk separuh kuat ,
dua
sampel
iaitu sampe l perubahan pendapatan dan dividen akhir tahun berdagangan
lemah
( Sampe l S atu) dan yang
( Sampe l Dua) telah digunakan
berdagangan
untuk mengkaj i t indakbalas
sekuri t i terhadap maklumat yang re levan . Tiga kaedah menganggarkan
untuk
terl aras ,
pUlangan
pulangan r i s iko
terlaras
dan
cergas harga
digunakan pasaran
pUlangan
res idual :
yang
pUlangan
risiko
terlaras yang mengamb i lkira pembetulan Dimson, Fowler dan Rorke ( DFR) untuk b ias dagangan tipis . Has i l kaj ian menunj ukkan bahawa ( i ) pengumuman dan untuk
pendapatan
dividen akhir tahun mengandungi maklumat - maklumat penentuan
menj angka
harga
sekur i t i ,
dan
( ii )
makluma t - maklumat yang terkandung
xvi i i
pasaran dalam
relevan telah
pengumuman
pendapatan dan dividen t iga atau empat bulan sebelum pengumuman makluma t - maklumat s i gnifikan pasaran
tersebut .
Terdapat pulangan
residual
yang boleh di interpretas ikan sebagai
bukti
yang bahawa
adalah tidak cekap : pengamatan ini adalah benar
untuk
sampel saham yang berdagangan lemah ( Sampe l S atu) .
S atu dalam
anal i s i s
bentuk
menggunakan tuj uan
tambahan telah dibuat
kuat
di
" saham
Pasaran
S aham
bulanan terp i l ih"
untuk
Kual a
menilai
dengan
Lumpur
sebagai
ini . Keputusan uj ian menunj ukkan bahawa
HPC
sampel
untuk
Pasaran
Saham
Kual a Lumpur adalah tidak cekap dalam bentuk kuat .
Keputusan menye luruh kaj ian ini membukt ikan bahawa Pasaran S aham Kuala Lumpur adalah cekap dalam bentuk lemah dan kuat
terutamanya
cergas . cekap l emah .
Terdapat terutamanya Kaj ian
untuk
j uga bukti yang untuk portfo l io
lanj ut
t indakbalas
harga
saham - saham
yang
portfo l io
diperlukan
terhadap
( saham)
menunj ukkan ( saham) untuk
maklumat
berdagangan
lemah .
pasaran dalam bentuk kuat adalah kukuh .
xix
yang
memahami
Bukti
berdagangan
pasaran
yang
dalam
separuh
tidak
berdagangan kelewatan
penentuan
harga
ke tidakcekapan
CHAPTER I
OBJECTIVES AND BACKGROUND
Research Problem Definit ion Two decades have passed s ince the term " e ffic ient was firs t term
coined
e ffic ient
Effic ient Rol l
i n the financ ial market
was first used
l i terature . The
in
the
context
Marke t Hypothes i s ( EMH) by Fama , Fisher , Jensen
( 19 6 9 , p . 1 ) , where i t was
adj us ts
rapidly
( 19 6 5 )
economics
marke t "
to
defined as
a
new information . Prior
proposed the EMH in some
of and
market
that
that
Fama
to
details . The idea
of
random
walk , which preceeded EMH , is attributed to Bachelier ( 1900 ) .
The
idea
agreement
economics .
several
and Over
s timulated lately ,
and ,
researchers
grown
has
interest
some
and
disagreement
prac t i tioners in the field of the years , a rich body
of
controversy , among
both
finance
l i terature
documenting the general val idity of EMH particularly deve loped securities marke ts of the
world .
As
and has in Fama
( 19 7 0 , p . 416 ) pointed out : the evidence in support of the efficient market models is extensive, and (somewhat uniquely in economics) contradictory evidence is sparse.
This s tudy is concerned with examining the effic iency of a develop ing
cap ital
market
namely ,
1
the
Kuala
Lumpur S tock
2 Exchange .
It
will be fruitful to examine the
s tatus
of
the
theory before defining the research obj ective s . The
early
emp i r ical
works
which
provide
evidence
that secur i ties market prices are unbiased in the ir reac t ion to relevant
informat ion
was seen as the consequence of
rational
inves tor behaviour of weal th maximis ing in comp e t i t ive marke ts . In
a
we l l - functioning
reflect
unb iased
avai labl e marke t ,
market , the
predictions
information . I t
prices
based
on
is general ly
of
all
s tocks
wi l l
relevant
and
b e l i eved
that
be ing intense ly comp e t i t ive in nature , is
s tock
e fficiently
pr iced both in the weak- form sense and semi - s trong sense: Fama , op . c i t . However , f indings from subsequent s tudies have not reached such
cons i s tent
conclus ion ,
evidence
supporting
example ,
evidence
EMH ,
( al though is
at
continua l ly
of " anomalous " re turn
e ffects ,
( PI E ) ratio e ffects , Value Line among
idiosyncrac i es
other
documented) .
phenomenon ,
( for an excellent e luc i dation o f
For now
is
e ffects , low
evidence
voluminous
time ,
same
behaviour
widespread : s iz e effec ts , turn o f the year earning
the
price
week-end
of
market
s tock
marke t
Bal l and Brown
( 19 7 8 ,
seasonali t ie s , see Ari ff and J ohnson , 1 9 9 0 ) . However , Officer ( 19 7 5 , p . 3 1 ) and p . 1 ) asserted s tock
prices
that is
the presence
not in itself
o f a seasonal behaviour a
suffic i ent
condit i on
in for
3 rej ecting the EMIL A
more l ikely
explanat ion
is
related
to
the struc ture of the economy , for example , changing opportunity costs of money through
the
re turns over all t ime
year : the
period
is
no t
assump t ion a
of cons tant
necessary
condi tion
o f cap i tal marke t equil ibrium .
J ensen ( 19 7 8 , p . 9 5 ) , in an introduc tory comment :
I believe there is no other proposition in economics which has more solid empirical evidence supporting it than the E�H. It is evidence which we will not be able to ignore.
Ball ( 19 8 9 , p . 2 7 ) ant i c ipates : I expect many (though certainly not all) of the anomalies ("inefficiencies") to be resolved in favour of efficiency.
Based be
upon these commentory and the evidence to - date
discus s e d
rej ect
EMH
at a later s tage ) i t is therefore
based
persis tent anomalous the
purely on emp irical issues s tock
1980s . Furthermore apparent
of
discernible
as
ine ffic iency
return Ball is
premature raised
noted
uncomp l icated
to investors , implying a
by
to the
documented
behaviour ( 19 8 9 )
( to
relative ly
in
the
evidence
and
read ily
dis ingenuous
use o f information . There
are
various reasons why market
effic iency
should
hol d . Firs t , s tock marke ts mus t rank highly among markets on priori
l ikel ihood
of
be ing
competitive :
there
are
a
no
4 serious entry barriers , there are many buyers and sellers , trans action costs are low and continues to get lower .
and
Second ,
s ince tests o f effic iency imp l icitly or exp l i c i tly involve tes t o f effic iency as mode l led
a
behaviour ,
it
effic iency
might be prej udiced
model
seems
by
itse l f .
hypothe s i s
is
particular equil ibrium
more l ikely
As
Ball
that :
that
by
failure
fai lure in
( 19 78a ,
p.
( i ) the two
Ill)
to
document
asset
pricing
raised:
parame ter
to
process
generating
S tr ictly
speaking , tests o f market effic iency are j o int
securities '
stocks , yields
" The
mode l
applied
a portfolio of common
price
when
misspec i fied in
the
equ i l ibrium . " tes ts
o f the hypothes is and the price - generating mode l assumed in the tests . Third , there is a solid body of emp i r ical work documenting the
general
val idity of EMH and qualified
interpretation
marke t " ine fficienc ies " ( in view of the re luc tance rej ect
the
academic
notion
of
researchers
prac t i tioners ) .
Fourth ,
marke t and the
e ffic iency to
a
of
totally
espec ially
lesser
exis tence
to
extent a
of
among among
powerful
and
irreve r s ible tendency for marke t ' s e ffic iency to increase
over
t ime
from
rather than to diminish that is , markets will learn
experience (see , for example , Dawson , 1984b ) . £MR.
generally conform t o expectations i n the
markets , turnover ,
Mos t tes ts o f developed
s tock
charac terised by among others , act ive trading ,
large
large
number o f uti l i ty
maximis ing
inves tors ,
no
