Returns Predictability of Malaysian Bank Stocks: Evidence and Implications

Authors

  • Kian-Ping Lim Labuan School of International Business and Finance Universiti Malaysia Sabah, Malaysia
  • Hui-Boon Tan Faculty of Economics and Management Universiti Putra Malaysia, Malaysia
  • Siong-Hook Law Faculty of Economics and Management Universiti Putra Malaysia, Malaysia

DOI:

https://doi.org/10.32890/ijms2006.13.1.2

Keywords:

Returns predictability, Random walk, Weak-form efficient market hypothesis, Stock market, Malaysian bank

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.

 

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Published

01-06-2006

Issue

Vol. 13 No. 1 (2006): International Journal of Management Studies (IJMS) Vol. 13, No. 1 June 2006

Section

Articles

Research impact

Harvested 2026-09-07
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Identifiers DOI 10.32890/ijms2006.13.1.2 OpenAlex W72049017

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