The Return Predictability and Market Efficiency of the KLSE CI Stock Index Futures Market

James Ford, Wee Ching Pok, Sunil Poshakwale

    Research output: Contribution to journalArticle

    2 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)37-60
    Number of pages24
    JournalJournal of Emerging Market Finance
    Volume11
    Issue number1
    DOIs
    Publication statusPublished - 2012

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