Does mco announcement affect futures market performance? A viewpoint of efficient market hypothesis (emh) and signaling theory in malaysia


  • Nik Maheran Nik Muhammad, Shaliza Alwi, Filzah Md. Isa


Commodities Futures market, Movement Control Order, Signaling Theory, Efficient Market Hypothesis, Abnormal Return


Globally, the epidemic of Covid 19 has resulted in the imposition of Movement Control Orders (MCOs). Malaysia has embarked on a three-phase MCO implementation. Investors appeared panicked following the first lockdown's deployment, and the market plunged. Thus, this study analyzed the commodities futures market's performance prior to and following the announcement of the MCO 2.0. The findings reveal that the abnormal return spike occurs four days following the announcement, which corresponds to earlier research findings. Throughout the [-20,20] even frame, the average abnormal return and cumulative abnormal return follow a consistent trend. The average abnormal return and cumulative average abnormal return are positive for most periods, most notably post-MCO announcement. Additionally, policymakers can use this research to aid them in making reasonable decisions regarding the restoration of investor confidence in the financial markets, particularly the commodities futures market