Randomness of Stock Market Movement: A Nonparametric Approach

Othman Yong

Abstract


ABSTRAK

Dalam hipotesis pasaran cekap (HPK) bentuk lemah, adalah diandaikanyang harga saham bergerak secara rawak. Dalam kajian inl, penumpuan diberikan kepada indeks-indeks pasaran kebangsaan dan bukannya kepada harga saham, dan kita ingin menentukan sama ada indeks-indeks ini mempunyai gelagat yang serupa dengan perjalanan rawak. Disebabkan masalah ketidaknormalan dengan data-data yang digunakan, kajian ini menggunakan beberapa kaedah ujian bukan parametrik, berbeza dengan beberapa kajian dahulu yang menggunakan ujian-ujian parametrik. Data-data yang digunakan untuk kajian ini terdiri daripada indeks-indeks penutup harian bagi indeks industn KLSE (Malaysta), Indeks Hang Seng (Hong Kong), tndeks Nikkel Dow Jones (Tokyo), Indeks purata Industri Dow Jones (New York), lndeks Australian All Ordinartes (Sydney), dan indeks Financial Times All Ordinartes (London). Keputusan kajian ini menunjukkan bahawa perubahan harian indeks berbeza daripada perjalanan rawak bagi pasaran kecil seperti Malaysia dan Australia. Tambahan pula, keputusan yang didapati tidak stabil mengikut masa bagi pasaran-pasaran yang keell tnl. Bagz data mmgguan, hanya pasaran saham Malaysia yang menunjukkan keadaan tidak rawak bagi tempoh masa 1984- 1988. Ujian arah aliran Cox-Stuart menggunakan data bulanan gagal mengesan arah aliran yang ketara dalam pergerakan pasaran-pasaran ini (kecuali bagi pasaran Malaysia). Secara keseluruhannya, kajian ini menunjukkan bahawa model perjalanan rawak masih lagi sah bagi indeks-indeks kebangsaan sebagaimana halnya dengan kes saham, terutamanya bagi pasaran-pasaran dunia yang lebih mantap dan aktif Walau bagaimanapun, pasaran saham yang kecil dan tidak begitu aktif tidak begitu konsisten daripada segi menyokong model perjalanan rawak.

ABSTRACT

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.


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