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Ukff2013 Assignment 201805

This document outlines an assignment for a business finance course. Students are asked to analyze the efficiency of the Bursa Malaysia stock market by examining historical stock returns of the top 25 companies in a selected sector. They must gather daily stock price data from Bloomberg, perform statistical tests like autocorrelation and unit root tests to analyze if returns follow a random walk. Students must then write a 3,000-3,500 word report interpreting their findings and discussing them in relation to market efficiency theories and previous research.

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EZern Kong
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66 views

Ukff2013 Assignment 201805

This document outlines an assignment for a business finance course. Students are asked to analyze the efficiency of the Bursa Malaysia stock market by examining historical stock returns of the top 25 companies in a selected sector. They must gather daily stock price data from Bloomberg, perform statistical tests like autocorrelation and unit root tests to analyze if returns follow a random walk. Students must then write a 3,000-3,500 word report interpreting their findings and discussing them in relation to market efficiency theories and previous research.

Uploaded by

EZern Kong
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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UKFF2013 Business Finance May 2018/2019

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)


LKC FACULTY OF ENGINEERING AND SCIENCE (FES)
FACULTY OF ACCOUNTANCY AND MANAGEMENT (FAM)

ACADEMIC YEAR: 2018/2019

BACHELOR OF SCIENCE (HONS) ACTUARIAL SCIENCE


BACHELOR OF SCIENCE (HONS) FINANCIAL MATHEMATICS
BACHELOR OF ECONOMICS (HONS) GLOBAL ECONOMICS

YEAR 2 TRIMESTER 1

UKFF2013 BUSINESS FINANCE

ASSIGNMENT

The concept of market efficiency is central to finance and has always been a major research area.
The term “efficiency” denotes that investors have no opportunity to beat the market and earn
abnormal return from capital market transactions. The theory is somehow controversial as
confirmed by the large body of specialised literature. To examine how efficient are the Bursa
Malaysia, statistical tests will be applied in order to examine if historical stock returns in weak
form indeed follow the random walk model.

Each assignment group will be allocated a sector of Bursa Malaysia listed companies. Select the
top 25 listed companies from that sector based on market capitalisation as at 31st December 2017.
Sectors of Bursa Malaysia available are as follows:

Construction Sector
Consumer Product Sector
Industrial Product Sector
Plantation Sector
Property Sector
Trading Services Sector

The sampling period of this study covers from 3 April 2009 to 10 May 2018.1

Required:
Fill up the data file in Microsoft Excel with measures for all the variables gathered from ONLY
the Bloomberg database of the selected companies. Then, write a report of around 3,000 to 3,500
words that includes the following:
(a) Background information:
 The continuous development of Bursa Malaysia infrastructure and innovative
improvement to the trading system for market efficiency

1
31 October 2003 to 3 April 2009; 16 July 1981 to 31 October 2003
UKFF2013 Business Finance May 2018/2019

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)


LKC FACULTY OF ENGINEERING AND SCIENCE (FES)
FACULTY OF ACCOUNTANCY AND MANAGEMENT (FAM)

 Factors contributing to and impeding market efficiency in the Bursa Malaysia


(15 marks)
(b) Literature review
 Issues in market efficiency such as biases and behavioural critiques
 Empirical findings in Malaysia and other countries (at least 10 most recent relevant
journal articles published after year 2010).
(15 marks)

(c) Data and statistical model


 Data and model specifications (e.g. daily, weekly or monthly data, with justification)
 Hypotheses formulation
 Examine if stock returns follow the random walk2 (e.g. autocorrelation analysis, unit
root test, runs test etc., whichever deems necessary based on literature, with EViews)
 At least one further or sub-investigation on efficiency issue relevant to sector under
examined (e.g. informational efficiency, trading strategies, event study etc.)3
(30 marks)

(d) Analysis of findings


 Interpretation of results and their implications
 Discussion and conclusion (whether your findings consistent or contradict with theories
and previous findings, and provide possible reasons).
(20 marks)

Excel data file (10 marks)


Presentation (10 marks)
[Total: 100 marks]

Note: It should be very specific in answering the question, i.e. nothing should be included that
doesn’t contribute directly to answering the question. Direct information cut and paste in your
answer will not be rewarded any marks and subject to plagiarism.

Other Requirements
Students are required to group themselves into a group consists FIVE members and register their
grouping with respective tutor the latest by WEEK 2 or ten (10) marks will be deducted for any
delay in registration.

Standard format: Times New Roman/Arial, font size of 12, 1.5 spacing, one-inch margins.
Hand-written assignment will not be accepted.

2
You may refer to https://bit.ly/2ITWm66; https://bit.ly/2sestHa
3
Reference: https://bit.ly/2GXnVJX; https://bit.ly/2kw8MGM
UKFF2013 Business Finance May 2018/2019

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)


LKC FACULTY OF ENGINEERING AND SCIENCE (FES)
FACULTY OF ACCOUNTANCY AND MANAGEMENT (FAM)

Students MUST submit both hardcopy and softcopy of the assignment ON THE
SUBMISSION DATE (please read Late Submission Penalty Clause in the Course Plan). All
relevant information including raw data used in your assignment must be included in the softcopy.

Students are reminded to include mark sheet provided below after the cover page of the report for
submission. Do not use comb binding or adding transparency cover for submitted assignment.
Just staple and punch two holes.

Topics covered: Topic 1 & 5


CLOs achieved: CLO1 & CLO2
UKFF2013 Business Finance May 2018/2019

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)


LKC FACULTY OF ENGINEERING AND SCIENCE (FES)
FACULTY OF ACCOUNTANCY AND MANAGEMENT (FAM)

SELECTED SECTOR: __________________________________________

TUTORIAL GROUP: _____

NAMES STUDENT ID
1)
2)
3)
4)
5)

Areas of evaluation Marks Marks


Allocated Awarded
Background information 15 marks
Literature review 15 marks
Data and statistical model 30 marks

Analysis of findings 20 marks


Excel data file 10 marks
Presentation 10 marks
TOTAL 100 marks
Total convert to 20 marks

Comments:
______________________________________________________________________________
______________________________________________________________________________
______________________________________________________________________________
______________________________________________________________________________

EXAMINER’S NAME: ____________________________


SIGNATURE: ____________________________ DATE: __________

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