Random Walk Models Classifications: An Empirical Study for Malaysian Stock Indices | Science Publications

American Journal of Applied Sciences

Chin W. Cheong¹ 

关键词: structural break;    market efficiency;    stock market;    unit root test;    random walk;   

DOI  :  10.3844/ajassp.2008.411.417

学科分类：自然科学（综合）

来源: Science Publications

【 摘 要 】

This article studied the Random Walk models introduced by Campbell et al.[2] for Malaysian stock market. The analysis is implemented under the possible drastic economics structural change using an iterative structural change test. After the break-date identification, the random walk hypothesis is tested by multiple variance ratios test in two separate periods. We further examined the serial correlations of return

【 授权许可】

Unknown