Behaviour of Stock Returns in the KLSE: A Test of the Random Walk Hypothesis

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Abstract

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 weight to the argument that the stock market has no memory, and casting doubt upon the usefulness of technical analysis.

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Author and article information

Contributors

Ahmadu Umaru Sanda: Malaysia

Abdul Ghani Shafie: Malaysia

G.S. Gupta: India

Journal

Title: Malaysian Management Journal

Publisher: UUM Press

Publication date (Electronic): February 11 2020

Volume: 3

Pages: 71-91

Affiliations

[1 ]School of Management, Universiti Sains Malaysia

Article

DOI: 10.32890/mmj.3.1.1999.8559

SO-VID: eeb17cf2-0eb4-4b9f-a90e-5a972e9ffffe

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History

ScienceOpen disciplines: Economic development,Management,International economics & Trade,Industrial organization,Business & Corporate economics

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ScienceOpen disciplines: Economic development, Management, International economics & Trade, Industrial organization, Business & Corporate economics

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