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Random walk in Malaysian initial public offering


Mohd Rashid, Rasidah and Narayansamay, Cheedradevi and Hashemoghli, Athena (2011) Random walk in Malaysian initial public offering. In: 13th Malaysian Finance Association Conference 2011, 10th-12th June 2011, Holiday Villa Beach Resort & Spa Langkawi, Kedah.

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Abstract

Efficient market phenomenon states that price of stocks should fully reflect all available information in the market. This study examines weak form efficient market hypothesis in initial public offering (IPOs) in the context of recent global financial crisis. This research tests the efficiency of IPO prices based on daily return and examines the random walk hypothesis in IPOs. For the purpose of testing this study employs runs test, Jarque-Bera test, Augmented Dickey Fuller (ADF), and Philips Perron (PP). The tests concluded that daily prices are not normally distributed and IPOs do not follow random walks for the year 2006 to 2010. Therefore, investors can make arbitrage opportunities across these IPOs.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Jointly organised by Asian Institute of Finance, Malaysian Finance Association & Universiti Kebangsaan Malaysia-GSB (ISBN) 978-967-10524-0-2
Uncontrolled Keywords: Efficient market hypothesis, global financial crisis, Augmented Dickey Fuller
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 30 Nov 2011 03:58
Last Modified: 24 Apr 2016 06:26
URI: http://repo.uum.edu.my/id/eprint/3527

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