Behaviour of stock returns in the KLSE: A test of the random walk hypothesis

• Main Authors: Sanda, Ahmadu Umaru, Shafie, Abdul Ghani, Gupta, G.S.
• 格式: Article
• 语言: English
• 出版: Universiti Utara Malaysia 1999
• 主题: HF Commerce
• 在线阅读: http://repo.uum.edu.my/515/1/Ahmadu_Umaru_Sanda.pdf; http://repo.uum.edu.my/515/

A sample of 224 companies listed in the Kuala Lumpur Stock Exchange was taken for the period 1991-96. The serial correlations tests of varying lags and the runs tests were employed to test for the random walk theory. The bulk of the results tilts towards the rejection of non-randomness, lending weig...