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

Lai, Ming Ming and Balachandher, K. Guru and Mat Nor, Fauzias (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. Malaysian Accounting Review, 6 (2). pp. 99-121. ISSN 1675-4077

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Abstract

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

Item Type: Article
Uncontrolled Keywords: Technical trading rules, Stock market, Kuala Lumpur Stock Exchange Composite Index, Malaysia
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities > Malaysia
Divisions: Accounting Research Institute (ARI)
Depositing User: Staf Pendigitan 1
Date Deposited: 02 Apr 2010 01:25
Last Modified: 21 Jun 2017 07:25
URI: http://ir.uitm.edu.my/id/eprint/185

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