MAY Malaysia Fund (The)

=================== =================
CUSIP No. 560905101 13G Page 2 of 8 Pages
=================== =================

================================================================================
1. NAME OF REPORTING PERSONS
 I.R.S. IDENTIFICATION NOS. OF ABOVE PERSONS

 CITY OF LONDON INVESTMENT GROUP PLC, A COMPANY INCORPORATED UNDER THE LAWS
 OF ENGLAND AND WALES
--------------------------------------------------------------------------------
2. CHECK THE APPROPRIATE BOX IF A MEMBER OF A GROUP (a) [_]
 (b) [_]

--------------------------------------------------------------------------------
3. SEC USE ONLY


--------------------------------------------------------------------------------
4. CITIZENSHIP OR PLACE OF ORGANIZATION

 ENGLAND AND WALES
--------------------------------------------------------------------------------
 5. SOLE VOTING POWER

 2,252,198
 NUMBER OF -------- --------------------------------------
 SHARES 6. SHARED VOTING POWER
 BENEFICIALLY
 OWNED BY 0
 EACH -------- --------------------------------------
 REPORTING 7. SOLE DISPOSITIVE POWER
 PERSON
 WITH 2,252,198
 -------- --------------------------------------
 8. SHARED DISPOSITIVE POWER

 0
--------------------------------------------------------------------------------
9. AGGREGATE AMOUNT BENEFICIALLY OWNED BY EACH REPORTING PERSON

 2,252,198
--------------------------------------------------------------------------------
10. CHECK BOX IF THE AGGREGATE AMOUNT IN ROW (9) EXCLUDES CERTAIN SHARES [_]

--------------------------------------------------------------------------------
11. PERCENT OF CLASS REPRESENTED BY AMOUNT IN ROW 9

 23.31%
--------------------------------------------------------------------------------
12. TYPE OF REPORTING PERSON

 HC
================================================================================

=================== =================
CUSIP No. 560905101 13G Page 3 of 8 Pages
=================== =================

================================================================================
1. NAME OF REPORTING PERSONS
 I.R.S. IDENTIFICATION NOS. OF ABOVE PERSONS

 CITY OF LONDON INVESTMENT MANAGEMENT COMPANY LIMITED, A COMPANY
 INCORPORATED UNDER THE LAWS OF ENGLAND AND WALES
--------------------------------------------------------------------------------
2. CHECK THE APPROPRIATE BOX IF A MEMBER OF A GROUP (a) [_]
 (b) [_]

--------------------------------------------------------------------------------
3. SEC USE ONLY


--------------------------------------------------------------------------------
4. CITIZENSHIP OR PLACE OF ORGANIZATION

 ENGLAND AND WALES
--------------------------------------------------------------------------------
 5. SOLE VOTING POWER

 2,252,198
 NUMBER OF -------- --------------------------------------
 SHARES 6. SHARED VOTING POWER
 BENEFICIALLY
 OWNED BY 0
 EACH -------- --------------------------------------
 REPORTING 7. SOLE DISPOSITIVE POWER
 PERSON
 WITH 2,252,198
 -------- --------------------------------------
 8. SHARED DISPOSITIVE POWER

 0
--------------------------------------------------------------------------------
9. AGGREGATE AMOUNT BENEFICIALLY OWNED BY EACH REPORTING PERSON

 2,252,198
--------------------------------------------------------------------------------
10. CHECK BOX IF THE AGGREGATE AMOUNT IN ROW (9) EXCLUDES CERTAIN SHARES [_]

--------------------------------------------------------------------------------
11. PERCENT OF CLASS REPRESENTED BY AMOUNT IN ROW 9

 23.31%
--------------------------------------------------------------------------------
12. TYPE OF REPORTING PERSON

 IA
================================================================================

=================== =================
CUSIP No. 560905101 13G Page 4 of 8 Pages
=================== =================

ITEM 1(A). NAME OF ISSUER:

 Malaysia Fund Inc.

ITEM 1(B). ADDRESS OF ISSUER'S PRINCIPAL EXECUTIVE OFFICES:

 The principal executive offices of the Fund are located at
 Malaysia Fund Inc. c/o Morgan Stanley Asset Management, 522
 Fifth Avenue, New York, NY 10036

ITEM 2(A). NAME OF PERSON FILING:

 This statement is being filed by City of London Investment
 Group PLC ("CLIG") and City of London Investment Management
 Company Limited ("CLIM," and together with CLIG, the
 "Reporting Persons").

 The principal business of CLIG is serving as the parent
 holding company for the City of London group of companies,
 including CLIM.

 CLIM is an emerging markets fund manager which specializes in
 investing in closed-end investment companies and is a
 registered investment adviser under Section 203 of the
 Investment Advisers Act of 1940. CLIM is controlled by CLIG.
 CLIM is principally engaged in the business of providing
 investment advisory services to various public and private
 investment funds, including The Emerging World Fund ("EWF"), a
 Dublin, Ireland-listed open-ended investment company, The
 Natural Resources Fund ("WUNAT"), a Dublin, Ireland-listed
 open-ended investment company, Emerging Markets Country Fund
 ("GEM"), a private investment fund organized as a Delaware
 business trust, Investable Emerging Markets Country Fund
 ("IEM"), a private investment fund organized as a Delaware
 business trust, The World Equity CEF Fund ("WOEF"), a private
 investment fund organized as a Delaware business trust,
 Emerging Free Markets Country Fund ("Free"), a private
 investment fund organized as a Delaware business trust,
 Natural Resource Fund ("NAT"), a private investment fund
 organized as a Delaware business trust, Global Equity CEF Fund
 ("GEF"), a private investment fund organized as a Delaware
 business trust, Frontier Emerging Markets Fund ("FRONT"), a
 private investment fund organized as a Delaware business
 trust, the Global Emerging Markets Equity Yield Fund
 ("YIELD"), a private investment fund organized as a Delaware
 business trust, Global Emerging Markets Country Fund Cayman
 ("CEM"), a Cayman listed mutual fund, Natural Resources Fund
 Cayman ("CNAT"), a Cayman listed mutual fund, Global Equity
 Fund Cayman ("CGEF"), a Cayman listed mutual fund, GFM
 (Institutional) Emerging Markets Country Fund ("GFM"), an
 open-ended fund organized under the laws of the Province of
 Ontario, Tradex Global Equity Fund ("Tradex"), an Ontario
 mutual fund, and eleven unaffiliated third-

=================== =================
CUSIP No. 560905101 13G Page 5 of 8 Pages
=================== =================

 party segregated accounts over which CLIM exercises
 discretionary voting and investment authority (the "Segregated
 Accounts").

 EWF, WUNAT, GEM, IEM, WOEF, Free, NAT, GEF, FRONT, YIELD, CEM,
 CNAT, CGEF, GFM, and Tradex are collectively referred to
 herein as the "City of London Funds."

 The Shares to which this Schedule 13G relates are owned
 directly by the City of London Funds and the Segregated
 Accounts.

ITEM 2(B). ADDRESS OF PRINCIPAL BUSINESS OFFICE OR, IF NONE, RESIDENCE:

 Address for CLIG and CLIM:

 10 Eastcheap
 London EC3M 1LX
 England

ITEM 2(C). CITIZENSHIP:

 CLIG - England and Wales

 CLIM - England and Wales

ITEM 2(D). TITLE OF CLASS OF SECURITIES:

 Common Stock, par value $.001 per share

ITEM 2(E). CUSIP NUMBER:

 560905101

ITEM 3. IF THIS STATEMENT IS FILED PURSUANT TO RULE 13D-1(B), OR
 13D-2(B) OR (C), CHECK WHETHER THE PERSON FILING IS A:

 (a) |_| Broker or dealer registered under Section 15 of
 the Act (15 U.S.C. 78o).

 (b) |_| Bank as defined in Section 3(a)(6) of the Act
 (15 U.S.C. 78c).

 (c) |_| Insurance company as defined in Section 3(a)(19)
 of the Act (15 U.S.C. 78c).

=================== =================
CUSIP No. 560905101 13G Page 6 of 8 Pages
=================== =================

 (d) |_| Investment company registered under Section 8 of
 the Investment Company Act of 1940 (15 U.S.C.
 80a-8).

 (e) |X| An investment adviser in accordance with Rule
 13d-1(b)(1)(ii)(E) (for CLIM);

 (f) |_| An employee benefit plan or endowment fund in
 accordance with Rule 13d-1(b)(1)(ii)(F);

 (g) |X| A parent holding company or control person in
 accordance with Rule 13d-1(b)(1)(ii)(G) (for CLIG);

 (h) |_| A savings association as defined in Section 3(b)
 of the Federal Deposit Insurance Act (12 U.S.C.
 1813);

 (i) |_| A church plan that is excluded from the
 definition of an investment company under Section
 3(c)(14) of the Investment Company Act (15 U.S.C.
 80a-3);

 (j) |_| Group, in accordance with Rule
 13d-1(b)(1)(ii)(J).


ITEM 4. OWNERSHIP.

 For CLIG and CLIM:

 (a) Amount beneficially owned:

 2,252,198

 (b) Percent of class:

 23.31%

 (c) Number of shares as to which such person has:

 (i) Sole power to vote or to direct the vote:
 2,252,198

 (ii) Shared power to vote or to direct the vote: 0

 (iii) Sole power to dispose or to direct the
 disposition of: 2,252,198

 (iv) Shared power to dispose or to direct the
 disposition of: 0

ITEM 5. OWNERSHIP OF FIVE PERCENT OR LESS OF A CLASS.

=================== =================
CUSIP No. 560905101 13G Page 7 of 8 Pages
=================== =================

 CLIG, as the parent holding company of CLIM, and CLIM, as
 investment advisers to the Funds, have the power to direct the
 dividends from, or the proceeds of the sale of the shares
 owned by the Funds. Each of the Funds owns less than 5% of the
 shares.

ITEM 6. OWNERSHIP OF MORE THAN FIVE PERCENT ON BEHALF OF ANOTHER
 PERSON.

 Not applicable.

ITEM 7. IDENTIFICATION AND CLASSIFICATION OF THE SUBSIDIARY WHICH
 ACQUIRED THE SECURITY BEING REPORTED ON BY THE PARENT HOLDING
 COMPANY.

 CLIG is the parent holding company of CLIM. See also Item 3.

ITEM 8. IDENTIFICATION AND CLASSIFICATION OF MEMBERS OF THE GROUP.

 Not applicable.

ITEM 9. NOTICE OF DISSOLUTION OF GROUP.

 Not applicable.

ITEM 10. CERTIFICATION.

 By signing below I certify that, to the best of my knowledge
 and belief, the securities referred to above were acquired and
 are held in the ordinary course of business and were not
 acquired and are not held for the purpose of or with the
 effect of changing or influencing the control of the issuer of
 the securities and were not acquired and are not held in
 connection with or as a participant in any transaction having
 that purpose or effect.

=================== =================
CUSIP No. 560905101 13G Page 8 of 8 Pages
=================== =================

 SIGNATURE

 After reasonable inquiry and to the best of my knowledge and belief, I
certify that the information set forth in this statement is true, complete and
correct.

 The reporting persons agree that this statement is filed on behalf of each
of them.



Dated: August 8, 2008



 CITY OF LONDON INVESTMENT GROUP PLC


 By: /s/ Barry M. Olliff
 --------------------------
 Name: Barry M. Olliff
 Title: Director



 CITY OF LONDON INVESTMENT MANAGEMENT
 COMPANY LIMITED


 By: /s/ Barry M. Olliff
 ---------------------------
 Name: Barry M. Olliff
 Title: Director