Empirical study of the granger causal relationships and the relative market efficiencies of Malaysian stocks traded in both the KLSE and CLOB markets in the period 1997 to 1998

Abstract

The purpose of this study is to add to the literature on Grangers [1969] Causality and CLOB. We investigated: 1) the implications of the choice of indices on the testing of Grangers [1969] Causality, 2) on the nature of the lead-lag relationships and 3) the market efficiencies between the Malaysian and Singapore markets during this period.