An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor
This paper examines the predictability of technical trading rules on the daily returns of the Kuala Lumpur Stock Exchange Composite Index for the full sample period from January 1977 to December 1999 which includes both bullish and bearish periods. The methodology employed includes both the variance...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Accounting Research Institute (ARI) & Faculty of Accountancy
2007
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| Online Access: | https://ir.uitm.edu.my/id/eprint/185/ |
| _version_ | 1848802291860111360 |
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| author | Lai, Ming Ming Balachandher, K. Guru |
| author_facet | Lai, Ming Ming Balachandher, K. Guru |
| author_sort | Lai, Ming Ming |
| building | UiTM Institutional Repository |
| collection | Online Access |
| description | This paper examines the predictability of technical trading rules on the daily returns of the Kuala Lumpur Stock Exchange Composite Index for the full sample period from January 1977 to December 1999 which includes both bullish and bearish periods. The methodology employed includes both the variance ratio test and moving average rules. The results indicate nonrandomness of successive price changes. The degree of predictability is supported as the trading rules examined indicate technical attractiveness with the presence of transaction costs |
| first_indexed | 2025-11-14T21:21:01Z |
| format | Article |
| id | uitm-185 |
| institution | Universiti Teknologi MARA |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T21:21:01Z |
| publishDate | 2007 |
| publisher | Accounting Research Institute (ARI) & Faculty of Accountancy |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | uitm-1852022-12-29T03:04:40Z https://ir.uitm.edu.my/id/eprint/185/ An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor mar Lai, Ming Ming Balachandher, K. Guru Malaysia This paper examines the predictability of technical trading rules on the daily returns of the Kuala Lumpur Stock Exchange Composite Index for the full sample period from January 1977 to December 1999 which includes both bullish and bearish periods. The methodology employed includes both the variance ratio test and moving average rules. The results indicate nonrandomness of successive price changes. The degree of predictability is supported as the trading rules examined indicate technical attractiveness with the presence of transaction costs Accounting Research Institute (ARI) & Faculty of Accountancy 2007-12 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/185/2/185.pdf Lai, Ming Ming and Balachandher, K. Guru (2007) An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor. (2007) Malaysian Accounting Review <https://ir.uitm.edu.my/view/publication/Malaysian_Accounting_Review.html>, 6 (2). pp. 99-121. ISSN 1675-4077 https://mar.uitm.edu.my/ |
| spellingShingle | Malaysia Lai, Ming Ming Balachandher, K. Guru An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor |
| title | An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor |
| title_full | An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor |
| title_fullStr | An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor |
| title_full_unstemmed | An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor |
| title_short | An examination of the random walk model and technical trading rules in the Malaysian stock market / Lai Ming Ming; Balachandher, K. Guru and Fauzias Mat Nor |
| title_sort | examination of the random walk model and technical trading rules in the malaysian stock market / lai ming ming; balachandher, k. guru and fauzias mat nor |
| topic | Malaysia |
| url | https://ir.uitm.edu.my/id/eprint/185/ https://ir.uitm.edu.my/id/eprint/185/ |