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Speculative Influences In Stock Market : A Case Study Of Kuala Lumpur Stock Exchange

Rahana, Abdul Rahman (2002) Speculative Influences In Stock Market : A Case Study Of Kuala Lumpur Stock Exchange. Masters thesis, Universiti Utara Malaysia.

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The purpose of this paper is to analyze the existence of speculative influences in Malaysia stock market by utilizing quarterly time series data from first quarter of
1990 until fourth quarter of 1999. Models are reapply in order to test (i) the extent excess volatility in KLSE (ii) to determine the relationship between stock market and
the real economy (iii) to examine whether the price of the stocks are based on their intrinsic values. The results indicate that excess volatility in the actual price of stocks does exist, especially during the boom period. The prices are found to be volatile at 1 or 2 times than the ex post rational price. It is also shown that the weak form of rational expectation hypothesis is satisfied. Regression of stock prices on measures of the real economic activity over the same period indicate that there is no evidence that the stock return could have been driven by expectation of real activity in the economy during the whole period. The relation is weak, suggesting that the production and GDP growth are not significant in explaining variations in stock return. With regards to the test of existence of intrinsic bubbles, the results indicate that intrinsic bubbles do occur in Malaysia stock market.

Item Type: Thesis (Masters)
Supervisor : UNSPECIFIED
Item ID: 783
Uncontrolled Keywords: Speculation, Stock Market, Case Study, Kuala Lumpur Stock Exchange (KLSE)
Subjects: H Social Sciences > HG Finance
Divisions: Faculty and School System > Sekolah Siswazah
Date Deposited: 10 Nov 2009 00:43
Last Modified: 24 Jul 2013 12:09
Department: Sekolah Siswazah
URI: https://etd.uum.edu.my/id/eprint/783

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