Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange

The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e. future stock returns cannot be predicted based on past movement patterns. Contrary to that, there a...

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Autores principales:	Emad Azhar Ali Syed, Lai Fong-Woon, Kashif Shad Muhammad
Formato:	article
Lenguaje:	EN FR
Publicado:	EDP Sciences 2021
Materias:	adaptive market hypothesis random walk return predictability volatility risk-reward profile Social Sciences H
Acceso en línea:	https://doaj.org/article/174be82057d049c59f6eb090291421bd
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spelling	oai:doaj.org-article:174be82057d049c59f6eb090291421bd2021-12-02T17:15:13ZInvestors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange2261-242410.1051/shsconf/202112403002https://doaj.org/article/174be82057d049c59f6eb090291421bd2021-01-01T00:00:00Zhttps://www.shs-conferences.org/articles/shsconf/pdf/2021/35/shsconf_icmesh2020_03002.pdfhttps://doaj.org/toc/2261-2424The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e. future stock returns cannot be predicted based on past movement patterns. Contrary to that, there are believers of the Adaptive Market Hypothesis (AMH) who have questioned the adaptability of EMH and argues that market efficiency and investor’s risk perception varies across time, thus, stock returns can be predicted through active portfolio management. Various Studies have argued on market efficiency debate for developed markets, however, limited studies have examined the same for emerging markets such as Malaysia and Indonesia, which are most volatile among ASEAN-5 indices. Therefore, the primary objective of this study is to conceptualize the manifestation of efficient market hypothesis and investors’ risk perception in volatile markets of Malaysia (Kuala Lumpur Composite Index) and Indonesia (Jakarta Composite Index) by testing the 10 years (2010-2019) of daily, weekly and monthly data for the return predictability. The findings of this study will provide insight into stock market behavior to help investors to better strategize their portfolio investment positioning to reap the most efficient risk-based return.Emad Azhar Ali SyedLai Fong-WoonKashif Shad MuhammadEDP Sciencesarticleadaptive market hypothesisrandom walkreturn predictabilityvolatilityrisk-reward profileSocial SciencesHENFRSHS Web of Conferences, Vol 124, p 03002 (2021)
institution	DOAJ
collection	DOAJ
language	EN FR
topic	adaptive market hypothesis random walk return predictability volatility risk-reward profile Social Sciences H
spellingShingle	adaptive market hypothesis random walk return predictability volatility risk-reward profile Social Sciences H Emad Azhar Ali Syed Lai Fong-Woon Kashif Shad Muhammad Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange
description	The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e. future stock returns cannot be predicted based on past movement patterns. Contrary to that, there are believers of the Adaptive Market Hypothesis (AMH) who have questioned the adaptability of EMH and argues that market efficiency and investor’s risk perception varies across time, thus, stock returns can be predicted through active portfolio management. Various Studies have argued on market efficiency debate for developed markets, however, limited studies have examined the same for emerging markets such as Malaysia and Indonesia, which are most volatile among ASEAN-5 indices. Therefore, the primary objective of this study is to conceptualize the manifestation of efficient market hypothesis and investors’ risk perception in volatile markets of Malaysia (Kuala Lumpur Composite Index) and Indonesia (Jakarta Composite Index) by testing the 10 years (2010-2019) of daily, weekly and monthly data for the return predictability. The findings of this study will provide insight into stock market behavior to help investors to better strategize their portfolio investment positioning to reap the most efficient risk-based return.
format	article
author	Emad Azhar Ali Syed Lai Fong-Woon Kashif Shad Muhammad
author_facet	Emad Azhar Ali Syed Lai Fong-Woon Kashif Shad Muhammad
author_sort	Emad Azhar Ali Syed
title	Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange
title_short	Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange
title_full	Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange
title_fullStr	Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange
title_full_unstemmed	Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange
title_sort	investors’ risk perception in the context of efficient market hypothesis: a conceptual framework for malaysian and indonesian stock exchange
publisher	EDP Sciences
publishDate	2021
url	https://doaj.org/article/174be82057d049c59f6eb090291421bd
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Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange

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