A myriad of empirical studies conducted in developed markets indicate the existence of small-firm effect. This study is undertaken to investigate the presence of firm effect in emerging markets such as Malaysia Bourse (formerly known as Kuala Lumpur Stock Exchange). Applying the method used by...

In this study we apply time-series analysis to examine empirically the contemporaneous as well as lagged relation between stock index returns volatility and exchange rates returns volatility during Asian economic crisis. The generalized autoregressive conditional heteroscedasticity (GARCH 1,1)...

We examine the dynamics relationship between stock prices and economic variables in six Asian-Pacific selected countries of Malaysia, Korea, Thailand, Hong Kong, Japan, and Australia. The monthly data on stock price indices, foreign exchange rates, consumer price index and industrial production...

The conditional variance for five banks stock returns traded on the Kuala Lumpur Stock Exchange and the financial index is modeled using a GARCH model with the number of volume traded as a regressor in the conditional variance equation. The empirical finding is consistent with the notion that...

This paper discusses some of the issues related to the construction and interpretation of stock price indices most widely used in the Kuala Lumpur Stock Exchange: the Composite index, the EMAS index, the Second Board index and the Industrial index. Each of the indices represents a benchmark...

This paper examines relationships among difference currencies in two different regimes, i.e floating and pegging (fixed) regimes. Daily rates for five foreign exchange rates (Great Britain pound, Singapore dollar, Japan yen, China yuan, Germany Deutsche mark) for the period from 1990 to 2001 are...

This paper examines the short-run and long-run price interdependence among the Asian Pacific equity markets in the period surrounding the Asian financial crisis. The daily data from January 1997 to December 2000 composed of value weighted equity market indices for Malaysian, Japan, Hong Kong and...

This paper employs the cointegration tests and error correction model to investigate the impact of easing money market on stock returns in Malaysia following Asian financial crisis during 1997 to 2000. The monthly data on Kuala Lumpur Interbank Offer Rates (KLIBOR), the monthly closing of Kuala...