摘要：This paper analyzed the behavior of Malaysian stock market during the intervals of high uncertainty. It highlighted the impact of unexpected volatility shifts on this small emerging Asian market, in terms of its efficiency and returns, during the past two decades. The purpose of this study was achieved through the Iterated-Cumulative-Sum-of-Squares-in-Volatility model (ICSS-EGARCH-M Model), which is one of the new approaches in market efficiency studies. The empirical results indicated the rejection of Efficient Market Hypothesis for the market when sudden volatility shifts were considered. The results also provided significant empirical evidences for positive risk-return relationship in the exchanges. In addition, the stock market was found to be more sensitive to global than local events. The asymmetrical responses to good and bad news were also part of the market behavior.
