A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets

Testing the Random Walks in Korea Stock Exchange

“…For emerging markets, Kim (2004) reports the existence of a random walk for Hong Kong, Japon and Korea and rejections of random walk hypothesis for Taiwan and Thailand. The study of Hoque et al (2007) Kolmogrov Smirnov Normality test. The outcome of tests shows that KSE does not follow random walk and there are chances for the technical investors that they can earn the abnormal profit by identifying the trends in KSE.…”

“…However, several academic research conducted on various international markets have evidence that asset returns do not follow a random walk and hence called for more nuanced conclusions challenging the random walk markets and therefore the efficiency hypothesis . The attack of the wave theory of efficiency has been supported by numerous empirical studies , mainly the work of Summers (1986), Fama and French (1988) , Hoque et al (2007) Lock (2008) and Charles and Darne (2013) inefficiency , the autocorrelation of returns. The objective of the study is to check the efficiency in its weak form in Korea stock exchange and check whether KS11follow random walk or not.…”

Previsibilidade e eficiência no mercado agrícola

“…Trabalho pioneiro, de acordo com HOQUE et al (2007), sobre testes de quociente de variâncias foi desenvolvido por LO & MACKINLAY (1988), referenciado como teste de quociente de variâncias simples. Segundo os autores, tal teste foi criado sob duas suposições, com o intuito de capturar duas facetas do caminho aleatório: (a) inovações independentes e identicamente distribuídas na forma de uma distribuição normal (i.i.d.…”

Some Further Evidence on the Behaviour of Stock Returns in India

“…Hoque et al (2007) also observe evidences rejecting RWH in the majority of eight emerging markets. Borges's (2007) findings from multiple variance ratio test corroborate the earlier findings of Dias et al (2002) and Worthington and Higgs (2004) that Portuguese stock returns are highly correlated.…”