Randomness for asset prices constrained by price limit regimes: a Malaysian case study

• 主要な著者: Sifat, Imtiaz Mohamma, Mohamad, Azhar
• フォーマット: 論文
• 言語: English; English
• 出版事項: Portfolio Management Research 2019
• 主題: HG Finance; HG4001 Financial management. Business finance. Corporation finance.
• オンライン･アクセス: http://irep.iium.edu.my/80164/12/80164_Randomness%20for%20Asset%20Prices%20Constrained%20_article_new.pdf; http://irep.iium.edu.my/80164/2/80164_Randomness%20for%20Asset%20Prices%20Constrained%20_wos.pdf; http://irep.iium.edu.my/80164/; https://jpe.pm-research.com/content/22/4/111.full

Empirical works testing randomness of stock prices are abundant. Such findings, however, can be challenged if time-series datasets examined are subjected to price limits, which, ex vi termini, enforce bounded movements. This article examines the random walk hypothesis for Malaysian equity marke...