Randomness of stock market movement: a nonparametric approach

In the weak form of the efficient market hypothesis (EMH), it is assumed that stock prices move in a random fashion. In this study, the focus is on the national stock indices rather than on the stock prices, and to determine whether the stock indices behave in a manner consistent with the random wal...

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Main Author: Othman Yong
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 1991
Online Access:http://journalarticle.ukm.my/7935/1/762-1455-1-SM.pdf
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author Othman Yong,
author_facet Othman Yong,
author_sort Othman Yong,
collection UKM
description In the weak form of the efficient market hypothesis (EMH), it is assumed that stock prices move in a random fashion. In this study, the focus is on the national stock indices rather than on the stock prices, and to determine whether the stock indices behave in a manner consistent with the random walk. Due to the problem of nonnormality with the data under study, this study employed various nonparametic tests as opposed to many previous studies which employed parametric tests. The data for this study consist of daily, weekly and monthly closing indices of the KLSE Industrial (Malaysia), Hang Seng (Hong Kong), Nikkel Dow Jones (Tokyo), Dow Jones Industrial Average (New York), Australian All Ordinaries (Sydney), and Financial Times Industrlal Ordinaries (London). The results of thIs study indicate that daily changes do deViate from the random walk for smaller markets of Malaysia and Australia. In addition, the results are not quite consistent or stable over time for these smaller markets. For weekly data, only the market of MalaySia shows nonrandomness for the period 1984-1988. The Cox-Stuart test for trend usmg monthly data failed to detect a sIgnificant trend In the movements of these markets (except for the market of MalaYSia). Overall, this study shows that the random walk model is still valid for the national stock indices just like in the case of stock, especially in the more established and active world's markets. However, smaller and "not-so-actlve" stock markets are not quite consistent in terms of their conformity to the random walk.
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spelling ukm.eprints-79352016-12-14T06:45:41Z http://journalarticle.ukm.my/7935/ Randomness of stock market movement: a nonparametric approach Othman Yong, In the weak form of the efficient market hypothesis (EMH), it is assumed that stock prices move in a random fashion. In this study, the focus is on the national stock indices rather than on the stock prices, and to determine whether the stock indices behave in a manner consistent with the random walk. Due to the problem of nonnormality with the data under study, this study employed various nonparametic tests as opposed to many previous studies which employed parametric tests. The data for this study consist of daily, weekly and monthly closing indices of the KLSE Industrial (Malaysia), Hang Seng (Hong Kong), Nikkel Dow Jones (Tokyo), Dow Jones Industrial Average (New York), Australian All Ordinaries (Sydney), and Financial Times Industrlal Ordinaries (London). The results of thIs study indicate that daily changes do deViate from the random walk for smaller markets of Malaysia and Australia. In addition, the results are not quite consistent or stable over time for these smaller markets. For weekly data, only the market of MalaySia shows nonrandomness for the period 1984-1988. The Cox-Stuart test for trend usmg monthly data failed to detect a sIgnificant trend In the movements of these markets (except for the market of MalaYSia). Overall, this study shows that the random walk model is still valid for the national stock indices just like in the case of stock, especially in the more established and active world's markets. However, smaller and "not-so-actlve" stock markets are not quite consistent in terms of their conformity to the random walk. Penerbit Universiti Kebangsaan Malaysia 1991 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7935/1/762-1455-1-SM.pdf Othman Yong, (1991) Randomness of stock market movement: a nonparametric approach. Jurnal Pengurusan, 10 . pp. 49-58. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/200
spellingShingle Othman Yong,
Randomness of stock market movement: a nonparametric approach
title Randomness of stock market movement: a nonparametric approach
title_full Randomness of stock market movement: a nonparametric approach
title_fullStr Randomness of stock market movement: a nonparametric approach
title_full_unstemmed Randomness of stock market movement: a nonparametric approach
title_short Randomness of stock market movement: a nonparametric approach
title_sort randomness of stock market movement a nonparametric approach
url http://journalarticle.ukm.my/7935/1/762-1455-1-SM.pdf
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