Is the KLSE Efficient? Efficient Market Hypothesis vs Behavioral Finance.

Prof. Dr., Annuar Md Nassir (2002) Is the KLSE Efficient? Efficient Market Hypothesis vs Behavioral Finance.

[img] PDF
11Mb

Abstract

Over the last 100years since Bachelier (1900)pioneering work on Random Walk Hypothesis, studies on the Efficient Market Hypothesis (EMH) have revealed mixed evidence. EMH states that stock prices reflect information. In an efficient market the prices of stocks reflect a rational assessment of the underlying worth of stocks. On average you will make money but the money you make is just enough to cover the risk you have assumed. If markets are efficient then new information is reflected quickly into market prices. Conversely, if markets are inefficient, information is reflected only slowly into market prices, if at all. EMH also presupposes an ability to detect incorrectly priced securities and profitable arbitraging opportunities which move the market towards efficiency. After the first marginal investor had profited from a price increase (or decrease), subsequent investors with the same information obtain no significant profits. This means that, in general, majority of investors cannot consistently profit from any delays in price adjustment reflecting new information. However continuous stream of well-documented evidence from the behavioural finance literature suggest that markets are inefficient. This paper attempts to review this controversy based on world evidence at large and with special reference to the Kuala Lumpur Stock Exchange and offers suitable panacea to rationalize this phenomena.

Item Type:Inaugural Lecture
Corporate Creators:Universiti Putra Malaysia
ID Code:1120
Deposited By: Muizzudin Kaspol
Deposited On:10 Jun 2009 02:22
Last Modified:27 May 2013 06:52

Repository Staff Only: item control page

Document Download Statistics

This item has been downloaded for since 10 Jun 2009 02:22.

View statistics for "Is the KLSE Efficient? Efficient Market Hypothesis vs Behavioral Finance."


Universiti Putra Malaysia Institutional Repository

Universiti Putra Malaysia Institutional Repository is an on-line digital archive that serves as a central collection and storage of scientific information and research at the Universiti Putra Malaysia.

Currently, the collections deposited in the IR consists of Master and PhD theses, Master and PhD Project Report, Journal Articles, Journal Bulletins, Conference Papers, UPM News, Newspaper Cuttings, Patents and Inaugural Lectures.

As the policy of the university does not permit users to view thesis in full text, access is only given to the first 24 pages only.