Returns Predictability of Malaysian Bank Stocks: Evidence and Implications
Keywords:
Returns predictability, Random walk, Weak-form efficient market hypothesis, Stock market, Malaysian bankAbstract
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.
Additional Files
Published
01-06-2006
How to Cite
Lim, K.-P., Tan, H.-B., & Law, S.-H. (2006). Returns Predictability of Malaysian Bank Stocks: Evidence and Implications. International Journal of Management Studies, 13(1), 89–108. Retrieved from https://e-journal.uum.edu.my/index.php/ijms/article/view/9236
Issue
Section
Articles