Resumen

CHING KOK, Sook  y  MUNIR, Qaiser. Malaysian finance sector weak-form efficiency: Heterogeneity, structural breaks, and cross-sectional dependence. Journal of Economics, Finance and Administrative Science [online]. 2015, vol.20, n.39, pp.105-117. ISSN 2077-1886.

This study examines the weak-form efficient market hypothesis (EMH) for the Finance Sector in Malaysian Stock Exchange, by exploring and scrutinizing the firm-level efficiency over for the period from 1^st January 1997 to 31^st December 2014. For this purpose, we apply panel nonlinear unit root test that accounts for heterogeneity, and panel stationarity test to allow for the presence of structural breaks and cross-sectional dependence (CSD). The main findings of this study suggest the following: first, there is a strong CSD among the price series of finance stocks; second, unlike the traditional panel unit root tests that provide mixed-results, the panel stationarity test which incorporates structural breaks and CSD suggests that these series are characterized as random walk processes implying the Finance Sector is weak-form efficient. The finding of weak-form efficiency has salient implications in terms of capital allocation, stock price predictability, forecasting technique, and the impact of shocks to stock prices.

Palabras clave : Market efficiency; Financial firms; Banks; Heterogeneity; Panel data; Structural breaks; Cross-sectional dependence.

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