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Random walk in Malaysian initial public offering

Efficient market phenomenon states that price of stocks should fully reflect all available information in the market. This study examines weak form efficient market hypothesis in initial public offering (IPOs) in the context of recent global financial crisis. This research tests the efficiency of I...

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Main Authors: Mohd Rashid, Rasidah, Narayansamay, Cheedradevi, Hashemoghli, Athena
Format: Conference or Workshop Item
Language:English
Published: Malaysia Finance Association 2011
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/3527/1/MFA2011-15.pdf
http://repo.uum.edu.my/3527/
http://www.ukm.my/mfa2011/
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spelling my.uum.repo.35272016-04-24T06:26:40Z http://repo.uum.edu.my/3527/ Random walk in Malaysian initial public offering Mohd Rashid, Rasidah Narayansamay, Cheedradevi Hashemoghli, Athena HG Finance Efficient market phenomenon states that price of stocks should fully reflect all available information in the market. This study examines weak form efficient market hypothesis in initial public offering (IPOs) in the context of recent global financial crisis. This research tests the efficiency of IPO prices based on daily return and examines the random walk hypothesis in IPOs. For the purpose of testing this study employs runs test, Jarque-Bera test, Augmented Dickey Fuller (ADF), and Philips Perron (PP). The tests concluded that daily prices are not normally distributed and IPOs do not follow random walks for the year 2006 to 2010. Therefore, investors can make arbitrage opportunities across these IPOs. Malaysia Finance Association 2011-06 Conference or Workshop Item PeerReviewed application/pdf en http://repo.uum.edu.my/3527/1/MFA2011-15.pdf Mohd Rashid, Rasidah and Narayansamay, Cheedradevi and Hashemoghli, Athena (2011) Random walk in Malaysian initial public offering. In: 13th Malaysian Finance Association Conference 2011, 10th-12th June 2011, Holiday Villa Beach Resort & Spa Langkawi, Kedah. http://www.ukm.my/mfa2011/
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Mohd Rashid, Rasidah
Narayansamay, Cheedradevi
Hashemoghli, Athena
Random walk in Malaysian initial public offering
description Efficient market phenomenon states that price of stocks should fully reflect all available information in the market. This study examines weak form efficient market hypothesis in initial public offering (IPOs) in the context of recent global financial crisis. This research tests the efficiency of IPO prices based on daily return and examines the random walk hypothesis in IPOs. For the purpose of testing this study employs runs test, Jarque-Bera test, Augmented Dickey Fuller (ADF), and Philips Perron (PP). The tests concluded that daily prices are not normally distributed and IPOs do not follow random walks for the year 2006 to 2010. Therefore, investors can make arbitrage opportunities across these IPOs.
format Conference or Workshop Item
author Mohd Rashid, Rasidah
Narayansamay, Cheedradevi
Hashemoghli, Athena
author_facet Mohd Rashid, Rasidah
Narayansamay, Cheedradevi
Hashemoghli, Athena
author_sort Mohd Rashid, Rasidah
title Random walk in Malaysian initial public offering
title_short Random walk in Malaysian initial public offering
title_full Random walk in Malaysian initial public offering
title_fullStr Random walk in Malaysian initial public offering
title_full_unstemmed Random walk in Malaysian initial public offering
title_sort random walk in malaysian initial public offering
publisher Malaysia Finance Association
publishDate 2011
url http://repo.uum.edu.my/3527/1/MFA2011-15.pdf
http://repo.uum.edu.my/3527/
http://www.ukm.my/mfa2011/
_version_ 1644278528667025408
score 13.211869

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