Behavioural finance perspectives on Malaysian stock market efficiency | Zendy

Jasman Tuyon | Zendy; Zamri Ahmad | Zendy

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Behavioural finance perspectives on Malaysian stock market efficiency

Author(s) -

Jasman Tuyon,

Zamri Ahmad

Publication year - 2016

Publication title -

borsa istanbul review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.682

H-Index - 21

eISSN - 2214-8469

pISSN - 2214-8450

DOI - 10.1016/j.bir.2016.01.001

Subject(s) - stock market , economics , predictability , financial economics , market efficiency , stock (firearms) , efficient market hypothesis , bounded rationality , market microstructure , primary market , econometrics , microeconomics , finance , order (exchange) , mechanical engineering , paleontology , physics , horse , quantum mechanics , engineering , biology

This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behavioural-related theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to bounded-adaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency

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