Empirical study of the granger causal relationships and the relative market efficiencies of Malaysian stocks traded in both the KLSE and CLOB markets in the period 1997 to 1998

• Main Authors: Ang, Joyce Kheng Ling, Lui, Cheh Ern, Seah, Wee Tia
• Other Authors: Kwok, Branson Chi Hing
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/11644
• Institution: Nanyang Technological University

The purpose of this study is to add to the literature on Grangers [1969] Causality and CLOB. We investigated: 1) the implications of the choice of indices on the testing of Grangers [1969] Causality, 2) on the nature of the lead-lag relationships and 3) the market efficiencies between the Malaysian...