Random Walk Behaviour of Malaysia Share Return in Different Economic Circumstance

Authors

  • Muhammad Fadhil Marsani Universiti Teknologi Malaysia
  • Ani Shabri Universiti Teknologi Malaysia

DOI:

https://doi.org/10.11113/matematika.v35.n3.1105

Abstract

This journal renders the random walk behaviour of the Malaysian daily share return, through tests of efficient market hypothesis (EMH) based on three different financial periods, namely growth, financial crisis, and recovery period. This review also covers the behaviour of extreme return for weekly and monthly series generated from Block maxima-minima method. Autocorrelation Function test (ACF) and Ljung-Box test had been employed to measure average correlation between observations, while Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), Kwiatkowski Phillips Schmidt Shin (KPSS) test had been used to scan the unit root and the stationarity. Multiple variance ratio tests had also been conducted to examine the random walk behaviour. Serial correlation test indicated that the movement of daily return during the financial crisis period was weak-form efficiency. The unit root and stationary tests suggested that each daily series was stationary, but trend stationary for extreme cases. Variance ratio tests indicated that the return during the recovery period was weak-form inefficiency due to the short lag autocorrelation in series.

Author Biographies

Muhammad Fadhil Marsani, Universiti Teknologi Malaysia

Muhammad Fadhil Bin Marsani  is a Ph.D. student at Universiti Teknologi Malaysia, under Department of Mathematical Sciences.

Ani Shabri, Universiti Teknologi Malaysia

Dr Ani Shabri is Lecturer in Statistics from Department of Mathematical Sciences, Faculty of Science,  Universiti Teknologi Malaysia

Downloads

Published

2019-12-01

Issue

Section

Articles