The random walk behaviour of Malaysian stock market : Evidence from individual stocks

• Main Authors: Lim, Kian Ping, Vun, Mathew Kien-Chung, Lee, Hock Ann
• Format: Article
• Language: English
• Published: Universiti Utara Malaysia 2006
• Subjects: HG Finance
• Online Access: http://repo.uum.edu.my/673/1/Kian_Ping_Lim.pdf; http://repo.uum.edu.my/673/; http://ijms.uum.edu.my
• Institution: Universiti Utara Malaysia

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...