Unlike other bourses in the region, Bursa Malaysia has a set of unique characteristics as compared to its peers. Notably, after the changes in index construction on July 6, 2009, the weightage of Government Linked Companies (GLCs) in the new index of FTSE-Bursa Malaysia KLCI (“FBM KLCI”)...

This paper uses linear and nonlinear Granger causality tests to study the lead-lag relationship between FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) and Kuala Lumpur Composite Index Futures (FKLI). We apply a new nonparametric test for Granger causality test by Diks and Panchenko...