Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices
Chin Wen Cheong
DOI : 10.3844/ajassp.2008.411.417
American Journal of Applied Sciences
Volume 5, Issue 4
This article studied the Random Walk models introduced by Campbell et al. 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.
© 2008 Chin Wen Cheong. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.