Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices

This study examines the price behaviour of East Asian stock markets and individual stocks listed on the Bursa Malaysia in the light of random walk hypothesis by utilizing the new and powerful statistical tool, namely the Brock-Dechert-Scheinkman (BDS) test and Hinich Bispectrum test. This study emph...

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Main Author:	Vun, Methew Kien Chung
Format:	Thesis
Language:	English English
Published:	2007
Subjects:	Stocks - Prices - East Asia - Case studies Investment banking
Online Access:	http://psasir.upm.edu.my/id/eprint/5012/1/FEP_2007_2.pdf
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spelling	my-upm-ir.50122013-05-27T07:19:45Z Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices 2007 Vun, Methew Kien Chung This study examines the price behaviour of East Asian stock markets and individual stocks listed on the Bursa Malaysia in the light of random walk hypothesis by utilizing the new and powerful statistical tool, namely the Brock-Dechert-Scheinkman (BDS) test and Hinich Bispectrum test. This study emphasizes three main objectives. Firstly, this study examines the random walk behaviour and nonlinearity of East Asian stock indices and individual stock return series traded on Bursa Malaysia. Secondly, to ensure the consistency of the results, this study break the full sample period into 5 sub-periods with respect to the financial liberalization and the 1997 Asian financial crisis as the break points to observe whether these two issues will prevent the stocks from randomly pricing or vice versa. Lastly, this study also addresses the issue of whether market size influences the stock price behaviour by comparing the results of large-capitalization stocks and small-capitalization stocks. The following reveal the findings of this study. The econometric investigations (results of BDS) reveal that all the East Asian stock indices and individual stocks listed in the Bursa Malaysia do not follow a random walk process over the full sample period from January 1985 through December 2005. Besides that, the Hinich Bispectrum results reveal that nonlinearity exists in the East Asian stock prices and individual stock prices traded in the Bursa Malaysia. Through the sub-periods analysis, empirical evidence from this study suggests that 1997 Asian financial crisis prevents stock price from following a random walk process. This result comes from the SST (Singapore) and several individual stocks in which pocket of efficiency found before the occurrence of the Asian financial crisis but disappear during and after the crisis period. Lastly, although the analysis on individual stock does not provide any support that market size will influence the stock price randomness, analysis of the East Asian stock indices provide a useful comparison in which, Japan stock market is efficiently performed provide a strong support that market size is a matter of the randomness of the stock prices. Stocks - Prices - East Asia - Case studies Investment banking 2007 Thesis http://psasir.upm.edu.my/id/eprint/5012/ http://psasir.upm.edu.my/id/eprint/5012/1/FEP_2007_2.pdf application/pdf en public masters Universiti Putra Malaysia Stocks - Prices - East Asia - Case studies Investment banking Faculty Economics and Management English
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English English
topic	Stocks - Prices - East Asia - Case studies Investment banking
spellingShingle	Stocks - Prices - East Asia - Case studies Investment banking Vun, Methew Kien Chung Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
description	This study examines the price behaviour of East Asian stock markets and individual stocks listed on the Bursa Malaysia in the light of random walk hypothesis by utilizing the new and powerful statistical tool, namely the Brock-Dechert-Scheinkman (BDS) test and Hinich Bispectrum test. This study emphasizes three main objectives. Firstly, this study examines the random walk behaviour and nonlinearity of East Asian stock indices and individual stock return series traded on Bursa Malaysia. Secondly, to ensure the consistency of the results, this study break the full sample period into 5 sub-periods with respect to the financial liberalization and the 1997 Asian financial crisis as the break points to observe whether these two issues will prevent the stocks from randomly pricing or vice versa. Lastly, this study also addresses the issue of whether market size influences the stock price behaviour by comparing the results of large-capitalization stocks and small-capitalization stocks. The following reveal the findings of this study. The econometric investigations (results of BDS) reveal that all the East Asian stock indices and individual stocks listed in the Bursa Malaysia do not follow a random walk process over the full sample period from January 1985 through December 2005. Besides that, the Hinich Bispectrum results reveal that nonlinearity exists in the East Asian stock prices and individual stock prices traded in the Bursa Malaysia. Through the sub-periods analysis, empirical evidence from this study suggests that 1997 Asian financial crisis prevents stock price from following a random walk process. This result comes from the SST (Singapore) and several individual stocks in which pocket of efficiency found before the occurrence of the Asian financial crisis but disappear during and after the crisis period. Lastly, although the analysis on individual stock does not provide any support that market size will influence the stock price randomness, analysis of the East Asian stock indices provide a useful comparison in which, Japan stock market is efficiently performed provide a strong support that market size is a matter of the randomness of the stock prices.
format	Thesis
qualification_level	Master's degree
author	Vun, Methew Kien Chung
author_facet	Vun, Methew Kien Chung
author_sort	Vun, Methew Kien Chung
title	Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
title_short	Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
title_full	Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
title_fullStr	Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
title_full_unstemmed	Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices
title_sort	nonlinearity and the random walk behaviour of east asian stock prices
granting_institution	Universiti Putra Malaysia
granting_department	Faculty Economics and Management
publishDate	2007
url	http://psasir.upm.edu.my/id/eprint/5012/1/FEP_2007_2.pdf
_version_	1747810330761756672

Nonlinearity And The Random Walk Behaviour Of East Asian Stock Prices

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