Research Article Open Access

Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices

Chin Wen Cheong1
  • 1 ,
American Journal of Applied Sciences
Volume 5 No. 4, 2008, 411-417

DOI: https://doi.org/10.3844/ajassp.2008.411.417

Submitted On: 4 June 2007 Published On: 30 April 2008

How to Cite: Cheong, C. W. (2008). Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices. American Journal of Applied Sciences, 5(4), 411-417. https://doi.org/10.3844/ajassp.2008.411.417

Abstract

This article studied the Random Walk models introduced by Campbell et al.[2] for Malaysian stock market. The analysis is implemented under the possible drastic economics structural change using an iterative structural change test. After the break-date identification, the random walk hypothesis is tested by multiple variance ratios test in two separate periods. We further examined the serial correlations of return’s squared innovations for random walk classifications. Our empirical results evidenced the random walk type 3 dominating most of the Malaysian stock indices.

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Keywords

  • structural break
  • market efficiency
  • stock market
  • unit root test
  • random walk