Randomness of stock market movement: a nonparametric approach

In the weak form of the efficient market hypothesis (EMH), it is assumed that stock prices move in a random fashion. In this study, the focus is on the national stock indices rather than on the stock prices, and to determine whether the stock indices behave in a manner consistent with the random wal...

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Main Author:	Othman Yong
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1991
Online Access:	http://journalarticle.ukm.my/7935/ http://journalarticle.ukm.my/7935/ http://journalarticle.ukm.my/7935/1/762-1455-1-SM.pdf

id	ukm-7935
recordtype	eprints
spelling	ukm-79352016-12-14T06:45:41Z http://journalarticle.ukm.my/7935/ Randomness of stock market movement: a nonparametric approach Othman Yong, In the weak form of the efficient market hypothesis (EMH), it is assumed that stock prices move in a random fashion. In this study, the focus is on the national stock indices rather than on the stock prices, and to determine whether the stock indices behave in a manner consistent with the random walk. Due to the problem of nonnormality with the data under study, this study employed various nonparametic tests as opposed to many previous studies which employed parametric tests. The data for this study consist of daily, weekly and monthly closing indices of the KLSE Industrial (Malaysia), Hang Seng (Hong Kong), Nikkel Dow Jones (Tokyo), Dow Jones Industrial Average (New York), Australian All Ordinaries (Sydney), and Financial Times Industrlal Ordinaries (London). The results of thIs study indicate that daily changes do deViate from the random walk for smaller markets of Malaysia and Australia. In addition, the results are not quite consistent or stable over time for these smaller markets. For weekly data, only the market of MalaySia shows nonrandomness for the period 1984-1988. The Cox-Stuart test for trend usmg monthly data failed to detect a sIgnificant trend In the movements of these markets (except for the market of MalaYSia). Overall, this study shows that the random walk model is still valid for the national stock indices just like in the case of stock, especially in the more established and active world's markets. However, smaller and "not-so-actlve" stock markets are not quite consistent in terms of their conformity to the random walk. Penerbit Universiti Kebangsaan Malaysia 1991 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7935/1/762-1455-1-SM.pdf Othman Yong, (1991) Randomness of stock market movement: a nonparametric approach. Jurnal Pengurusan, 10 . pp. 49-58. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/200
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	In the weak form of the efficient market hypothesis (EMH), it is assumed that stock prices move in a random fashion. In this study, the focus is on the national stock indices rather than on the stock prices, and to determine whether the stock indices behave in a manner consistent with the random walk. Due to the problem of nonnormality with the data under study, this study employed various nonparametic tests as opposed to many previous studies which employed parametric tests. The data for this study consist of daily, weekly and monthly closing indices of the KLSE Industrial (Malaysia), Hang Seng (Hong Kong), Nikkel Dow Jones (Tokyo), Dow Jones Industrial Average (New York), Australian All Ordinaries (Sydney), and Financial Times Industrlal Ordinaries (London). The results of thIs study indicate that daily changes do deViate from the random walk for smaller markets of Malaysia and Australia. In addition, the results are not quite consistent or stable over time for these smaller markets. For weekly data, only the market of MalaySia shows nonrandomness for the period 1984-1988. The Cox-Stuart test for trend usmg monthly data failed to detect a sIgnificant trend In the movements of these markets (except for the market of MalaYSia). Overall, this study shows that the random walk model is still valid for the national stock indices just like in the case of stock, especially in the more established and active world's markets. However, smaller and "not-so-actlve" stock markets are not quite consistent in terms of their conformity to the random walk.
format	Article
author	Othman Yong,
spellingShingle	Othman Yong, Randomness of stock market movement: a nonparametric approach
author_facet	Othman Yong,
author_sort	Othman Yong,
title	Randomness of stock market movement: a nonparametric approach
title_short	Randomness of stock market movement: a nonparametric approach
title_full	Randomness of stock market movement: a nonparametric approach
title_fullStr	Randomness of stock market movement: a nonparametric approach
title_full_unstemmed	Randomness of stock market movement: a nonparametric approach
title_sort	randomness of stock market movement: a nonparametric approach
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	1991
url	http://journalarticle.ukm.my/7935/ http://journalarticle.ukm.my/7935/ http://journalarticle.ukm.my/7935/1/762-1455-1-SM.pdf
first_indexed	2023-09-18T19:51:03Z
last_indexed	2023-09-18T19:51:03Z
_version_	1777406221545897984

Randomness of stock market movement: a nonparametric approach

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