Random Walk and The Stock Market of Malaysia

Othman Yong

Abstract


The stock price behavior of most developed countries has been known to follow the random walk process. The purpose of this paper is to test whether or not Malaysian srock prices follow a random walk. It will also attempt to find out how much deviation the Malaysian stock prices exhibit from the random walk model in comparison to the results of other stock exchanges in Europe, Asia, Australia and the USA.

ABSTRAK

Gelagat harga saham di negara-negara yang telah maju telah pun diketahui kebanyakkannya mengikuti proses perjalanna rawak. Tujuan kertas ini ialah untuk menguji sama ada harga saham di Malaysia mengikuti perjalanna rawak. Ianya juga akan mencuba mengethaui sejauh manakah saham-saham di Malaysia berbeza dari model perjalanan rawak jika dibandingkan dengan hasil kajian di bursa-bursa saham di Eropah, Asia,Australi dan di Amerika Syarikat.


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