Kuala Lumpur Stock Market Efficiency Questioned, Leverage Effect Disputed
The article examines the stock market in Malaysia, focusing on the Kuala Lumpur Composite Index (KLCI). Researchers used EGARCH to study the leverage effect and Augmented Dickey-Fuller to assess market efficiency. Results indicate that the KLCI does not exhibit a leverage effect, and it follows a weak form hypothesis, suggesting it behaves like a random walk.