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RANDOM WALKS ON THE STOCK EXCHANGE OF SINGAPORE
Author(s) -
Chiat Hwang Soo,
Finn Frank J.
Publication year - 1983
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.1983.tb00044.x
Subject(s) - normality , random walk , stock exchange , econometrics , stock (firearms) , stock price , economics , mathematics , financial economics , statistics , geography , geology , finance , series (stratigraphy) , paleontology , archaeology
Monthly price changes on the Stock Exchange of Singapore are tested for normality and serial dependence. It is found that the normal distribution is a good description of most of the data studied and that successive price changes are essentially independent. This is consistent with “weak form” efficiency.