Multifractality and Efficiency: Evidence from Malaysian Sectoral Indices

This study examines the weak-form efficiency of Malaysian sectoral indices using multifractal trended fluctuation analysis. The study also uses the rolling window approach to scrutinize the ynamics of weak-form efficiency of Malaysian sectoral stock market. The overall empirical findings evealed that the Malaysian sectoral indices possess multifractality as a result of both fat-tailed robability distribution and long-range correlations. The dynamics of the local Hurst exponents cquired via rolling window approach showed that the Malaysian sectoral efficiency is adversely ffected by both Asian and global financial crises, and also negatively impacted by the capital control mplemented by the Malaysian government during the Asian financial crisis. The findings suggest at forecasting models that incorporate multifractality might be more appropriate for Malaysian ectoral volatility and crash predictions. Malaysian experience also demonstrates that policy makers hould carefully decide on the proper monetary regime as the policy also holds important role in mproving the stock market efficiency. A ranking of the sectoral indices according to their relative eak-form efficiency is also presented in this study