Abstract
Stock price behavior is one of the core concerns of researchers and finance scholars from more than a half-century of years. Most of the times, they have tried to identify unexplored anomalies that could be used to explain stock price movement in the different stock market. As a result, we have found different models and theories relating to stock price behavior as well as the efficiency of the stock market. Malaysian stock market is considered the second among the largest South East Asian stock markets according to its domestic market capitalization. A considerable number of researches have already been done on the stock price behavior of Malaysian stock market. This study reviews the existing literatures on the stock price behavior of Malaysian stock markets within two wings, literatures on efficient market hypothesis of Malaysian market and the effect of economic and financial variables on the stock price.
Highlights
The Bursa Malaysia or formerly known as the Kuala Lumpur Stock Exchange (KLSE) is the premier security in Malaysia where the purpose of the Bursa Malaysia is to provide an internationally competitive marketplace for various investments and fund raising activities
Malaysian stock market is considered the second among the largest South East Asian stock markets according to its domestic market capitalization
The findings suggest that: (i) the dividend decisions of these firms partiall)' depend on their current earnings and past dividends; (ii) firms have long-term target dividend which is conditioned upon their earnings ability, and (iii) earnings changes of firms are random which implies that earnings forecasts by analysts might be of no economic significance (Md Nassir & Mohamad, 1993)
Summary
The Bursa Malaysia or formerly known as the Kuala Lumpur Stock Exchange (KLSE) is the premier security in Malaysia where the purpose of the Bursa Malaysia is to provide an internationally competitive marketplace for various investments and fund raising activities. Rohilina and Hassama (2009) attempted to examine the short-run and long-run causal relationship between Kuala Lumpur Composite Index (KLCI) and selected macroeconomic variables namely inflation, money supply and nominal effective exchange rate during the pre and post crisis period from 1987 until 1995 and from 1999 until 2007 by using monthly data. The cointegration test and the vector error correction model demonstrates the evidence of positive long-run relationships between real stock returns and measures of aggregate economic activity including industrial production, consumer price index, money supply and real exchange rate. Mugableh (2011) assessed the long-run and short-run equilibrium relationships between six macroeconomic variables namely; industrial production index (IP), producer price index (PPI), consumer price index (CPI), exchange rates (ER), narrow money supply (M1), broad money supply (M2) and the Malaysian Stock Market Index (SMI) using annual time-series data for the 1977-2011 period.
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