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Returns predictability of Malaysian bank stocks : Evidence and implications

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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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
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 03 Oct 2010 07:49
Last Modified: 03 Oct 2010 07:49

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