South-East Asian Stock Markets Follow A Non-Random Walk
Are the returns of the major South-East Asian stock markets forecastable? This study resorts to time series models that estimate the current value of a variable solely based on its historical records. Technical analysis that explore, for instance, patterns such as head-and-shoulders are viewed as so...
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| Format: | Working Paper |
| Language: | en |
| Published: |
The Technical Analyst
2004
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/29607/1/south.pdf http://ir.unimas.my/id/eprint/29607/ |
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| _version_ | 1831810555114946560 |
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| author | Venus, Khim-Sen Liew Lim, Kian-Ping Choong, Chee-Keong |
| author_facet | Venus, Khim-Sen Liew Lim, Kian-Ping Choong, Chee-Keong |
| author_sort | Venus, Khim-Sen Liew |
| building | Centre for Academic Information Services (CAIS) |
| collection | Institutional Repository |
| content_provider | Universiti Malaysia Sarawak |
| content_source | UNIMAS Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | Are the returns of the major South-East Asian stock markets forecastable? This study resorts to time series models that estimate the current value of a variable solely based on its historical records. Technical analysis that explore, for instance, patterns such as head-and-shoulders are viewed as some kinds of non-linearity in the financial time-series. As such, linear and non-linear models are considered in this study, together with the benchmark random walk model for forecastability comparison. Stock market returns of five major South-East Asian countries over the sample period ranges from January 1990 to October 2000 are examined in this study. Two linear and four non-linear models are estimated to generate 1-day, 1-week, 1month, 3-month, 9-month and 1-year forecasts. Results obtained shows that the random walk model ranked last in terns of forecast accuracy performance in all cases. Hence, it can be concluded that these stock market returns follow a non-random walk and are forecastable by time series models. |
| format | Working Paper |
| id | my.unimas.ir-29607 |
| institution | Universiti Malaysia Sarawak |
| language | en |
| publishDate | 2004 |
| publisher | The Technical Analyst |
| record_format | eprints |
| spelling | my.unimas.ir-296072021-08-04T03:04:24Z http://ir.unimas.my/id/eprint/29607/ South-East Asian Stock Markets Follow A Non-Random Walk Venus, Khim-Sen Liew Lim, Kian-Ping Choong, Chee-Keong HG Finance Are the returns of the major South-East Asian stock markets forecastable? This study resorts to time series models that estimate the current value of a variable solely based on its historical records. Technical analysis that explore, for instance, patterns such as head-and-shoulders are viewed as some kinds of non-linearity in the financial time-series. As such, linear and non-linear models are considered in this study, together with the benchmark random walk model for forecastability comparison. Stock market returns of five major South-East Asian countries over the sample period ranges from January 1990 to October 2000 are examined in this study. Two linear and four non-linear models are estimated to generate 1-day, 1-week, 1month, 3-month, 9-month and 1-year forecasts. Results obtained shows that the random walk model ranked last in terns of forecast accuracy performance in all cases. Hence, it can be concluded that these stock market returns follow a non-random walk and are forecastable by time series models. The Technical Analyst 2004 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/29607/1/south.pdf Venus, Khim-Sen Liew and Lim, Kian-Ping and Choong, Chee-Keong (2004) South-East Asian Stock Markets Follow A Non-Random Walk. [Working Paper] |
| spellingShingle | HG Finance Venus, Khim-Sen Liew Lim, Kian-Ping Choong, Chee-Keong South-East Asian Stock Markets Follow A Non-Random Walk |
| title | South-East Asian Stock Markets Follow A Non-Random Walk |
| title_full | South-East Asian Stock Markets Follow A Non-Random Walk |
| title_fullStr | South-East Asian Stock Markets Follow A Non-Random Walk |
| title_full_unstemmed | South-East Asian Stock Markets Follow A Non-Random Walk |
| title_short | South-East Asian Stock Markets Follow A Non-Random Walk |
| title_sort | south-east asian stock markets follow a non-random walk |
| topic | HG Finance |
| url | http://ir.unimas.my/id/eprint/29607/1/south.pdf http://ir.unimas.my/id/eprint/29607/ |
| url_provider | http://ir.unimas.my/ |