The Random Walk Hypothesis for Asean Stock Markets
The objective of this paper is to examine whether stock markets follow a random walk in nine selected ASEAN stock markets namely: FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCO), Stock Exchange of Thailand Index (SET), Philippines Composite Index (PSEI), Jakarta Stock Exchange Composite Inde...
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| Format: | Thesis |
| Language: | English |
| Published: |
2014
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| Online Access: | http://eprints.intimal.edu.my/816/ http://eprints.intimal.edu.my/816/1/145.pdf |
| _version_ | 1848766574002962432 |
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| author | Pan, Qi Qi |
| author_facet | Pan, Qi Qi |
| author_sort | Pan, Qi Qi |
| building | INTI Institutional Repository |
| collection | Online Access |
| description | The objective of this paper is to examine whether stock markets follow a random walk in nine selected ASEAN stock markets namely: FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCO), Stock Exchange of Thailand Index (SET), Philippines Composite Index (PSEI), Jakarta Stock Exchange Composite Index (JCI), FTSE Straits Times Index (STI), Vietnam Stock Index (VN Index), Hanoi Exchange Index (HNX, Laos Stock Exchange Composite Index (LSX) and Cambodia Securities Exchange Index (CSX). The data consist of three kinds of market prices including daily, weekly, and monthly ones. Data are collected from DataStream and official websites of the indices.
Log returns of stocks are used for this study. Four kinds of test are used in this study including serial correlation, runs test, and unit root tests. The research suggests that for Malaysia, Thailand, Philippines, Indonesia, Singapore, Vietnam and Laos, their markets follow a random walk during their testing period, and thus investors cannot get abnormal returns in these markets. But for Cambodia, this research suggests that the market is inefficient. |
| first_indexed | 2025-11-14T11:53:18Z |
| format | Thesis |
| id | intimal-816 |
| institution | INTI International University |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:53:18Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | intimal-8162017-06-08T07:59:59Z http://eprints.intimal.edu.my/816/ The Random Walk Hypothesis for Asean Stock Markets Pan, Qi Qi HD28 Management. Industrial Management The objective of this paper is to examine whether stock markets follow a random walk in nine selected ASEAN stock markets namely: FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCO), Stock Exchange of Thailand Index (SET), Philippines Composite Index (PSEI), Jakarta Stock Exchange Composite Index (JCI), FTSE Straits Times Index (STI), Vietnam Stock Index (VN Index), Hanoi Exchange Index (HNX, Laos Stock Exchange Composite Index (LSX) and Cambodia Securities Exchange Index (CSX). The data consist of three kinds of market prices including daily, weekly, and monthly ones. Data are collected from DataStream and official websites of the indices. Log returns of stocks are used for this study. Four kinds of test are used in this study including serial correlation, runs test, and unit root tests. The research suggests that for Malaysia, Thailand, Philippines, Indonesia, Singapore, Vietnam and Laos, their markets follow a random walk during their testing period, and thus investors cannot get abnormal returns in these markets. But for Cambodia, this research suggests that the market is inefficient. 2014 Thesis NonPeerReviewed text en http://eprints.intimal.edu.my/816/1/145.pdf Pan, Qi Qi (2014) The Random Walk Hypothesis for Asean Stock Markets. Masters thesis, INTI International University. |
| spellingShingle | HD28 Management. Industrial Management Pan, Qi Qi The Random Walk Hypothesis for Asean Stock Markets |
| title | The Random Walk Hypothesis for Asean Stock Markets |
| title_full | The Random Walk Hypothesis for Asean Stock Markets |
| title_fullStr | The Random Walk Hypothesis for Asean Stock Markets |
| title_full_unstemmed | The Random Walk Hypothesis for Asean Stock Markets |
| title_short | The Random Walk Hypothesis for Asean Stock Markets |
| title_sort | random walk hypothesis for asean stock markets |
| topic | HD28 Management. Industrial Management |
| url | http://eprints.intimal.edu.my/816/ http://eprints.intimal.edu.my/816/1/145.pdf |