Do Asian stock market prices follow random walk? a revisit
This study re-examines the price behaviour of Asian stock markets in light of the random walk hypothesis. With a new statistical tool, namely the Brock-Dechert-Scheinkman (BDS) test, it is possible for researchers to detect more complex form of dependencies in series of financial returns that often...
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my.uum.repo.2612010-10-03T09:20:51Z http://repo.uum.edu.my/261/ Do Asian stock market prices follow random walk? a revisit Lim, Kian Ping Habibullah, Muzafar Shah Hock, Ann Lee HG Finance This study re-examines the price behaviour of Asian stock markets in light of the random walk hypothesis. With a new statistical tool, namely the Brock-Dechert-Scheinkman (BDS) test, it is possible for researchers to detect more complex form of dependencies in series of financial returns that often appear completely random to standard statistical tests, such as serial correlation tests,runs test, variance ratio test and unit root tests. Our results suggest that all the returns series in general do not follow a random walk process. This conclusion holds in both sub-periods (pre- and post-crisis) for Bangkok S.E.T.(BSET), Jakarta SE Composite (JSE), Kuala Lumpur SE Composite (KLSE), Korea SE Composite (KSE), and the Philippines SE Composite (PSE). For Hong Kong Hang-Seng (HKHS), the empirical results support our conjecture that the Asian financial crisis in 1997 adversely afected the market's ability to price stocks efficiently, thus preventing stock prices from following a random walk process. In particular, the price behaviour of this market experienced a dramatic change from random walk in the pre-crisis period to non-random during the crisis. Universiti Utara Malaysia 2004 Article PeerReviewed application/pdf en http://repo.uum.edu.my/261/1/Kian_Ping_Lim.pdf Lim, Kian Ping and Habibullah, Muzafar Shah and Hock, Ann Lee (2004) Do Asian stock market prices follow random walk? a revisit. International Journal of Management Studies (IJMS), 11. pp. 129-155. ISSN 0127-8983 http://ijms.uum.edu.my |
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HG Finance Lim, Kian Ping Habibullah, Muzafar Shah Hock, Ann Lee Do Asian stock market prices follow random walk? a revisit |
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This study re-examines the price behaviour of Asian stock markets in light of the random walk hypothesis. With a new statistical tool, namely the Brock-Dechert-Scheinkman (BDS) test, it is possible for researchers to detect more
complex form of dependencies in series of financial returns that often appear completely random to standard statistical tests, such as serial correlation tests,runs test, variance ratio test and unit root tests. Our results suggest that all
the returns series in general do not follow a random walk process. This conclusion holds in both sub-periods (pre- and post-crisis) for Bangkok S.E.T.(BSET), Jakarta SE Composite (JSE), Kuala Lumpur SE Composite (KLSE),
Korea SE Composite (KSE), and the Philippines SE Composite (PSE). For Hong Kong Hang-Seng (HKHS), the empirical results support our conjecture that the Asian financial crisis in 1997 adversely afected the market's ability
to price stocks efficiently, thus preventing stock prices from following a random walk process. In particular, the price behaviour of this market experienced a dramatic change from random walk in the pre-crisis period
to non-random during the crisis. |
format |
Article |
author |
Lim, Kian Ping Habibullah, Muzafar Shah Hock, Ann Lee |
author_facet |
Lim, Kian Ping Habibullah, Muzafar Shah Hock, Ann Lee |
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Lim, Kian Ping |
title |
Do Asian stock market prices follow random walk? a revisit |
title_short |
Do Asian stock market prices follow random walk? a revisit |
title_full |
Do Asian stock market prices follow random walk? a revisit |
title_fullStr |
Do Asian stock market prices follow random walk? a revisit |
title_full_unstemmed |
Do Asian stock market prices follow random walk? a revisit |
title_sort |
do asian stock market prices follow random walk? a revisit |
publisher |
Universiti Utara Malaysia |
publishDate |
2004 |
url |
http://repo.uum.edu.my/261/1/Kian_Ping_Lim.pdf http://repo.uum.edu.my/261/ http://ijms.uum.edu.my |
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1644277750443278336 |
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13.159267 |