Measuring the stock market efficiency of the Malaysian equity market before and after COVID-19

• Published in: AIP Conference Proceedings
• Main Author: Marsani M.F.; Badyalina B.; Kerk L.C.; Hassim N.H.; Mokhtar N.A.; Palaniappan S.
• Format: Conference paper
• Language: English
• Published: American Institute of Physics Inc. 2024
• Online Access: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85182566307&doi=10.1063%2f5.0171643&partnerID=40&md5=d1044c35c756378e022aaa9bf12b5515

Efficiency in the stock market is an essential component of the capital allocation system and is crucial in promoting economic growth. In recent years, there has been a growing number of publications focusing on the effect of Covid-19 on human norms. Although there are many studies on the impact of Covid-19 on human norms, the empirical implications of the Covid-19 pandemic on financial markets are still poorly understood. This paper adds to the literature by discussing the effects of a pandemic by studying the stock market efficiency before and after the first case of Covid-19 hit Malaysia. Several robust techniques are utilised to validate the efficient market hypothesis (EMH), namely Ljung-box, Hurst exponent, Chow-denning, and Variance ratio tests. Results indicate a strong influence of Covid-19 on the stock movement. The returns are efficient for the overall sample period. However inefficient after the global pandemic. The findings reported here suggest an increasing chance for market predictability in the Malaysian stock market during the global Covid-19 pandemic. © 2024 Author(s).