TY  - JOUR
AU  - Cheong, Chin Wen 
PY  - 2008
TI  - Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices
JF  - American Journal of Applied Sciences
VL  - 5
IS  - 4
DO  - 10.3844/ajassp.2008.411.417
UR  - https://thescipub.com/abstract/ajassp.2008.411.417
AB  - 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.