Randomness for asset prices constrained by price limit regimes: a Malaysian case study

• Main Authors: Sifat, Imtiaz Mohamma, Mohamad, Azhar
• Format: Article
• Language: English; English
• Published: Portfolio Management Research 2019
• Subjects: HG Finance; HG4001 Financial management. Business finance. Corporation finance.
• Online Access: http://irep.iium.edu.my/80164/12/80164_Randomness%20for%20Asset%20Prices%20Constrained%20_article_new.pdf; http://irep.iium.edu.my/80164/2/80164_Randomness%20for%20Asset%20Prices%20Constrained%20_wos.pdf; http://irep.iium.edu.my/80164/; https://jpe.pm-research.com/content/22/4/111.full
• Institution: Universiti Islam Antarabangsa Malaysia

Empirical works testing randomness of stock prices are abundant. Such findings, however, can be challenged if time-series datasets examined are subjected to price limits, which, ex vi termini, enforce bounded movements. This article examines the random walk hypothesis for Malaysian equity marke...