TY - JOUR
T1 - The Return Predictability and Market Efficiency of the KLSE CI Stock Index Futures Market
AU - Ford, James
AU - Pok, Wee Ching
AU - Poshakwale, Sunil
PY - 2012/4
Y1 - 2012/4
N2 - Numerous studies have shown that returns on stocks and futures can to some extent be predicted over time, and that for developed financial markets, the predictions are compatible with the beta-asset pricing (APT) paradigm. Increasingly, more studies have been undertaken to test the veracity of such a paradigm in emerging markets. It has been contended that the paradigm is inapplicable to those markets and will, in any event, be unable to account for predicted asset returns. In this study we consider the Stock Exchange futures market in Malaysia, which has been neglected in the literature. Our econometric findings (using GMM) indicate that the APT model can be used as a rationale for the predictability of asset returns using local information, with the betas being constant and the expected risk premia being time-varying.
AB - Numerous studies have shown that returns on stocks and futures can to some extent be predicted over time, and that for developed financial markets, the predictions are compatible with the beta-asset pricing (APT) paradigm. Increasingly, more studies have been undertaken to test the veracity of such a paradigm in emerging markets. It has been contended that the paradigm is inapplicable to those markets and will, in any event, be unable to account for predicted asset returns. In this study we consider the Stock Exchange futures market in Malaysia, which has been neglected in the literature. Our econometric findings (using GMM) indicate that the APT model can be used as a rationale for the predictability of asset returns using local information, with the betas being constant and the expected risk premia being time-varying.
KW - APT
KW - emerging market
KW - market efficiency
KW - return predictability
KW - stock index futures
UR - http://www.scopus.com/inward/record.url?scp=84858172339&partnerID=8YFLogxK
U2 - 10.1177/097265271101100102
DO - 10.1177/097265271101100102
M3 - Article
VL - 11
SP - 37
EP - 60
JO - Journal of Emerging Market Finance
JF - Journal of Emerging Market Finance
SN - 0972-6527
IS - 1
ER -