Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms

Global information transmits fast into share price if a company is highly integrated with the world market. On the contrary, a segmented firm that has higher integration with local market is expected to have slow response to global information. This paper tested whether the above is true for listed...

Full description

Bibliographic Details
Main Authors:	Tai, Kui Guan, Hooy, Chee Wooi
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2017
Online Access:	http://journalarticle.ukm.my/11611/ http://journalarticle.ukm.my/11611/ http://journalarticle.ukm.my/11611/1/jeko_51%282%29-3.pdf

id	ukm-11611
recordtype	eprints
spelling	ukm-116112018-04-30T00:45:50Z http://journalarticle.ukm.my/11611/ Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms Tai, Kui Guan Hooy, Chee Wooi Global information transmits fast into share price if a company is highly integrated with the world market. On the contrary, a segmented firm that has higher integration with local market is expected to have slow response to global information. This paper tested whether the above is true for listed firms in Malaysia, a fast-emerging market that consists of large pool of both integrated and segmented firms. The degree of market integration is measured by the variance ratios approach proposed by Akdogan (1997) while informational efficiency is captured by the price delay measure suggested by Hou and Moskowitz (2005). We analyzed a panel of 265 firms from 1995 to 2010 and found that firms with higher integration with world market have better global information efficiency while segmented firms were significantly slow to impound global news. Our results are robust to the choice of different proxies of informational efficiency as well as different control variables and a variety of alternative regression specifications. Our findings imply that the policymakers should consider further liberalize the Malaysian stock market to increase its transparency and reduce information barriers so that information efficiency can be improved and contribute to economic growth agenda. Penerbit Universiti Kebangsaan Malaysia 2017 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/11611/1/jeko_51%282%29-3.pdf Tai, Kui Guan and Hooy, Chee Wooi (2017) Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms. Jurnal Ekonomi Malaysia, 51 (2). pp. 27-37. ISSN 0127-1962 http://www.ukm.my/fep/jem/content/2017-2.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	Global information transmits fast into share price if a company is highly integrated with the world market. On the contrary, a segmented firm that has higher integration with local market is expected to have slow response to global information. This paper tested whether the above is true for listed firms in Malaysia, a fast-emerging market that consists of large pool of both integrated and segmented firms. The degree of market integration is measured by the variance ratios approach proposed by Akdogan (1997) while informational efficiency is captured by the price delay measure suggested by Hou and Moskowitz (2005). We analyzed a panel of 265 firms from 1995 to 2010 and found that firms with higher integration with world market have better global information efficiency while segmented firms were significantly slow to impound global news. Our results are robust to the choice of different proxies of informational efficiency as well as different control variables and a variety of alternative regression specifications. Our findings imply that the policymakers should consider further liberalize the Malaysian stock market to increase its transparency and reduce information barriers so that information efficiency can be improved and contribute to economic growth agenda.
format	Article
author	Tai, Kui Guan Hooy, Chee Wooi
spellingShingle	Tai, Kui Guan Hooy, Chee Wooi Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms
author_facet	Tai, Kui Guan Hooy, Chee Wooi
author_sort	Tai, Kui Guan
title	Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms
title_short	Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms
title_full	Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms
title_fullStr	Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms
title_full_unstemmed	Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms
title_sort	does market integration promote to firm information efficiency? empirical evidence for malaysia listed firms
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2017
url	http://journalarticle.ukm.my/11611/ http://journalarticle.ukm.my/11611/ http://journalarticle.ukm.my/11611/1/jeko_51%282%29-3.pdf
first_indexed	2023-09-18T20:00:44Z
last_indexed	2023-09-18T20:00:44Z
_version_	1777406831210004480

Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms

Similar Items