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

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...

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Main Authors: Sanda, Ahmadu Umaru, Shafie, Abdul Ghani, Gupta, G.S.
Format: Article
Language:English
Published: Universiti Utara Malaysia 1999
Subjects:
HF Commerce
Online Access:http://repo.uum.edu.my/515/1/Ahmadu_Umaru_Sanda.pdf
http://repo.uum.edu.my/515/
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spelling my.uum.repo.5152015-06-28T01:39:39Z http://repo.uum.edu.my/515/ Behaviour of stock returns in the KLSE: A test of the random walk hypothesis Sanda, Ahmadu Umaru Shafie, Abdul Ghani Gupta, G.S. HF Commerce 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. Universiti Utara Malaysia 1999 Article PeerReviewed application/pdf en http://repo.uum.edu.my/515/1/Ahmadu_Umaru_Sanda.pdf Sanda, Ahmadu Umaru and Shafie, Abdul Ghani and Gupta, G.S. (1999) Behaviour of stock returns in the KLSE: A test of the random walk hypothesis. Malaysian Management Journal, 3 (1). pp. 71-91. ISSN 0128-6226
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 HF Commerce
spellingShingle HF Commerce
Sanda, Ahmadu Umaru
Shafie, Abdul Ghani
Gupta, G.S.
Behaviour of stock returns in the KLSE: A test of the random walk hypothesis
description 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.
format Article
author Sanda, Ahmadu Umaru
Shafie, Abdul Ghani
Gupta, G.S.
author_facet Sanda, Ahmadu Umaru
Shafie, Abdul Ghani
Gupta, G.S.
author_sort Sanda, Ahmadu Umaru
title Behaviour of stock returns in the KLSE: A test of the random walk hypothesis
title_short Behaviour of stock returns in the KLSE: A test of the random walk hypothesis
title_full Behaviour of stock returns in the KLSE: A test of the random walk hypothesis
title_fullStr Behaviour of stock returns in the KLSE: A test of the random walk hypothesis
title_full_unstemmed Behaviour of stock returns in the KLSE: A test of the random walk hypothesis
title_sort behaviour of stock returns in the klse: a test of the random walk hypothesis
publisher Universiti Utara Malaysia
publishDate 1999
url http://repo.uum.edu.my/515/1/Ahmadu_Umaru_Sanda.pdf
http://repo.uum.edu.my/515/
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score 13.211869

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