Relationship between Price-Earnings Ratios and Expected Return of Common Stocks: The case of Malaysia

Ismail Ibrahim, Othman Yong

Abstract


ABSTRAK

Kertas ini menyelidiki perhubungan di antara nisbah harga/perolehan bagi sesuatu saham dan pulangan dijangkannya. Kolerasi pangkal Spearman, iaitu satu ujian bukan parametrik, digunakan untuk menguji perhubungan ini. Kajian ini mendapati bahawa perhubungan yang ketara didapatl di antara dua pembolehubah di atas bagi keseluruhan tempoh masa 1980 hingga 1989 dan juga untuk subtempoh 1980 hingga 1984, yang mana ini menyarankan bahawa pasaran bagi saham-saham Malaysia adalah tidak cekap dan segi hipotesis pasaran cekap bentuk separa kuat. Walau bagaimanapun, bagi subtempoh 1985 hingga 1989 hubungan yang didapat adalah tidak ketara.

ABSTRACT

This paper investigates the relationship between PIE ratio of a stock and its expected return. Spearman rank correlatiOn, a nonparametric test, was used to test this relationship. ThIs study found significant relatIOnship between the two for the entire period 1980 to 1989 and for the sub-period 1980 101984, which suggest that the market for MalaYSia stocks IS not efficient In the semi-strong form of the efficient market hyporhesis (EMH). However, for the sub-period 1985 to 1989, the relationship is not significant.


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