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 Journal of Statistics and Management Systems cover
Hybrid ·Peer-reviewed·ISSN (Online): 2169-0014·ISSN (Print): 0972-0510

Monthly Journal: Publishes peer-reviewed aticles on theoretical and applied statistics and management systems, expoloring industrial statistics, actuarial and decision sciences.

Issues up to 2022 co-published with and available at:Taylor & Francis Online
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Open Access Research Article

Randow walk classifications and market risk evaluations of Malaysian stock market

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pp. 355–374Vol. 28Issue 2March 2025DOI: 10.47974/JSMS-1391XML
Received:
03 Jan 2024
Published Online:
01 Mar 2025
Article type:
Research Article
Language:
EN
Article no.:
JSMS-1391
Pages:
355–374

Abstract

This study delves into the characterization of random walks in the Malaysian stock market, specifically focusing on FTSE Bursa Malaysia KLCI. The examination of different types of random walks has been conducted through a battery of tests. The analysis takes into account the impact of the COVID-19 pandemic and divides the data into two distinct periods: before COVID-19 (from December 1, 2015, to May 1, 2019) and during COVID-19 (from December 1, 2015, to December 31, 2021). Subsequently, forecasting and risk determination are carried out using the ARMA-GJR model and ARMA-GARCH model. The empirical results reveal a substantial influence of COVID-19 on both the return and volatility of FTSE Bursa Malaysia KLCI.

Keywords

Subject Classifications

91G1591G7062M10

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