Speculative Influences In The Stock Market: A Case Study of Kuala Lumpur Stock Exchange

Abstract

s speculative influcnces in the Malaysian stock market utilizing quarterly from the first quarter of 1990 until fourth quarter of 1999. Models are developed of excess volatility in stock prices in KLSE. to determine the relationship market and the real economy and to examine whether the prices of the stocks heir intrinsic valucs. The findings of the study indicate that there exists excess #8 actual prices of the stock. It is observed that the prices are one to two times han the ex post rational price. It is shown that the weak form of rational expectation $8 satisfied in the Malaysian stock market. Regression of stock returns on measures activity over the period from 1990 to 1999 show that production and GDP me significant in explaining variations in stock returns. With regards to testing the ssrinsic bubbles, the results indicate that the intrinsic bubbles occur in the Malaysian