Munich Personal RePEc Archive

A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia)

Chin, Leong Choong and Sek, Siok Kun and Tan, Yee Theng (2018): A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia).

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Abstract

This paper extended the examination on the sectoral stock performances in Malaysia using different approaches. In particular, we seek to compare the performance of stock returns across sectors by focusing on the risk adjusted performance measures (Jensen’s Alpha, Sharpe Ratio, Treynor Ratio and MM Measure), Capital Asset Pricing Model (CAPM) hypothesis and stock diversification analysis. For this purpose, the single equation of Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH) is applied. The results of TGARCH and the risk-adjusted measures are consistent which suggest the consumer product as the best performed sector while technology as the lowest ranked sector. The results of TGARCH verified the validity of the CAPM theory in our study. The results also show that oil price, gold price, exchange rate and policy rate are influential to affect the stock return. However, they have limited influence to affect the volatility of stock return. The volatility of stock return exhibits a random walk behavior, with GARCH effect as the dominant factor that contributing to the volatility of stock return.

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