Lim, Kian Ping and Tan, Hui Boon and Law, Siong Hook (2007) Returns predictability of Malaysian bank stocks : Evidence and implications. International Journal of Management Studies (IJMS), 14 (1). pp. 89-108. ISSN 0127-8983

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Abstract

The main objective of this study is to address the question of whether stock prices follow random walk all the time. Using the samples of four Malaysian bank stocks- Hong Leong Bank, Malayan Banking, Public Bank and Southern Bank, coupled with the Hinich and Patterson (1995) windowed-testing procedure, the results show that the series under study follow a random walk for long periods of time, only to be interspersed with brief periods of strong linear and non-linear dependency structures. Unlike previous studies, this paper provides a different perspective on the subject of random walk. In addition to that, several important implications drawn from the findings are also provided in the paper.

Item Type:	Article
Uncontrolled Keywords:	Returns predictability; Random walk; Weak-form efficient market hypothesis; Stock market; Malaysian bank
Subjects:	H Social Sciences > HG Finance
Divisions:	UNSPECIFIED
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	03 Oct 2010 07:49
Last Modified:	03 Oct 2010 07:49
URI:	https://repo.uum.edu.my/id/eprint/1095

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