期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2008
卷号：3
期号：4
页码：138
DOI：10.5539/ijbm.v3n4p138
出版社：Canadian Center of Science and Education
摘要：Stock market is a main source for raising new private capital in many developing countries including Malaysia. Therefore, its efficiency and leverage effect is utmost important and interest. This paper aims to estimate the leverage effect of Malaysian stock market using EGARCH as well as investigating its efficiency using Augmented Dickey-Fuller (ADF). Data used consists of weekly closing prices for Malaysia stock market indices, namely the Kuala Lumpur Composite Index (KLCI), from 9 January 2004 to 8 Jun 2007. Results show that the EGARCH model did not confirm the existence of the leverage effect. The KLCI possess a unit root with no trend but with drift or known as random walk drift. It suggests that KLCI is weak form hypothesis.
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