The random walk behaviour of Malaysian stock market : Evidence from individual stocks
This study re-examines the price behaviour of 77 individual stocks listed on Bursa Malaysia in light of the random walk hypothesis. With a new statistical tool, namely the Brock-Dechert-Scheinkman( BDS) test, it is possible to detect a more complex form of dependencies in series of financial returns...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2006
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| Online Access: | https://repo.uum.edu.my/id/eprint/673/1/Kian_Ping_Lim.pdf |
| _version_ | 1825739718550093824 |
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| author | Lim, Kian Ping Vun, Mathew Kien-Chung Lee, Hock Ann |
| author_facet | Lim, Kian Ping Vun, Mathew Kien-Chung Lee, Hock Ann |
| author_sort | Lim, Kian Ping |
| collection | UUM |
| description | This study re-examines the price behaviour of 77 individual stocks listed on Bursa Malaysia in light of the random walk hypothesis. With a new statistical tool, namely the Brock-Dechert-Scheinkman( BDS) test, it is possible to detect a more complex form of dependencies in series of financial returns that often appear completely random to standard statistical tests, such as serial correlation tests, runs test, variance ratio test and unit root tests. Our econometric results reveal that the market in general as proxied by the KLCI and all the 77 individual stocks do not follow a random walk process. This conclusion holds even when the sample period is broken down into two sub-periods with the exception of five stocks- IOICorp, KLK, MUllnd, Pos Hldgs and Tchong. The price behaviour of these five stocks in the sub-periods before and during the crisis provides empirical support to our conjecture that the Asian financial crisis in 1997 adversely affected the market's ability to price stocks efficiently, thus preventing stock prices from following a random walk process. |
| first_indexed | 2024-07-04T05:14:07Z |
| format | Article |
| id | uum-673 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:14:07Z |
| publishDate | 2006 |
| publisher | Universiti Utara Malaysia |
| record_format | eprints |
| spelling | uum-6732010-09-30T01:14:11Z https://repo.uum.edu.my/id/eprint/673/ The random walk behaviour of Malaysian stock market : Evidence from individual stocks Lim, Kian Ping Vun, Mathew Kien-Chung Lee, Hock Ann HG Finance This study re-examines the price behaviour of 77 individual stocks listed on Bursa Malaysia in light of the random walk hypothesis. With a new statistical tool, namely the Brock-Dechert-Scheinkman( BDS) test, it is possible to detect a more complex form of dependencies in series of financial returns that often appear completely random to standard statistical tests, such as serial correlation tests, runs test, variance ratio test and unit root tests. Our econometric results reveal that the market in general as proxied by the KLCI and all the 77 individual stocks do not follow a random walk process. This conclusion holds even when the sample period is broken down into two sub-periods with the exception of five stocks- IOICorp, KLK, MUllnd, Pos Hldgs and Tchong. The price behaviour of these five stocks in the sub-periods before and during the crisis provides empirical support to our conjecture that the Asian financial crisis in 1997 adversely affected the market's ability to price stocks efficiently, thus preventing stock prices from following a random walk process. Universiti Utara Malaysia 2006 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/673/1/Kian_Ping_Lim.pdf Lim, Kian Ping and Vun, Mathew Kien-Chung and Lee, Hock Ann (2006) The random walk behaviour of Malaysian stock market : Evidence from individual stocks. International Journal of Management Studies (IJMS), 13 (2). pp. 1-40. ISSN 0127-8983 http://ijms.uum.edu.my |
| spellingShingle | HG Finance Lim, Kian Ping Vun, Mathew Kien-Chung Lee, Hock Ann The random walk behaviour of Malaysian stock market : Evidence from individual stocks |
| title | The random walk behaviour of Malaysian stock market : Evidence from individual stocks |
| title_full | The random walk behaviour of Malaysian stock market : Evidence from individual stocks |
| title_fullStr | The random walk behaviour of Malaysian stock market : Evidence from individual stocks |
| title_full_unstemmed | The random walk behaviour of Malaysian stock market : Evidence from individual stocks |
| title_short | The random walk behaviour of Malaysian stock market : Evidence from individual stocks |
| title_sort | random walk behaviour of malaysian stock market evidence from individual stocks |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/673/1/Kian_Ping_Lim.pdf |
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