Working Paper 2014-01

This is a project that my team started 2 years ago. For the past 10 years, I have been working on the area of informational efficiency, but my empirical research focused exclusively on stock return predictability (return autocorrelations and nonlinear serial dependence). After completing my PhD, I decided to move into firm-level research and Malaysia presents an interesting case study given that there are many unique institutional features yet to be explored. As for informational efficiency, the stock price delay measure is appealing since it captures the speed of adjustment to the arrival of information for each individual stock. The yet to be analysed corporate ownership dataset assembled by Bursa Malaysia Information Services and the bold liberalisation policies announced by the Malaysian government in 2009 provide the platform for me to conduct my very first firm-level empirical finance research. I am grateful that all the team members do not lose interest or momentum given the long delay in this Delay project.

The full paper can be downloaded from SSRN (click here).