Random walk tests for the Lisbon stock market

Borges, María Rosa

doi:10.1080/00036840802584935

Cited by 28 publications

(15 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…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. With multiple variance tests, an attempt is made to unmask sectoral efficiency of economies namely, Jordan, Qatar, Saudi Arabia and United Arab Emirates.…”

Section: Darant and Zhongsupporting

confidence: 82%

Some Further Evidence on the Behaviour of Stock Returns in India

Hiremath¹,

Kamaiah²

2010

IJEF

View full text Add to dashboard Cite

This paper examines the stock return behaviour in two premier Indian stock markets using Chow-Denning multiple variance ratio and Hinich bicorrelation tests. The former test overcomes size distortion of conventional variance ratio test. The latter test is capable of detecting linear and non-linear dependencies. The study is based on 14 indices relating to the National Stock Exchange (NSE) and Bombay Stock Exchange (BSE), and relates to the period 02/06/1997 to 30/01/2009. The Chow-Denning test rejects the null of random walk for six indices. The Hinich test rejects the null of pure white noise for full sample period. However, the windowed test results of Hinich show that the serial dependencies are not consistent across the sample period for all indices. This indicates presence of episodic dependencies in stock returns surrounded by long periods of pure noise.

show abstract

Section: Darant and Zhongsupporting

confidence: 82%

Some Further Evidence on the Behaviour of Stock Returns in India

Hiremath¹,

Kamaiah²

2010

IJEF

View full text Add to dashboard Cite

show abstract

“…With the integration of international stock markets, the understanding of efficiency in emerging financial markets has become more important. Indeed, many recent studies examined the validity of the RWH in emergent economies including Brazil (Ely, 2011), Africa (Collins et al, 2011), China (Chong et al, 2012), India (Gupta and Basu, 2007), and Portugal (Borges, 2011). They reported unconformity with random walk hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Do MENA stock market returns follow a random walk process?

Lahmiri¹

2013

ijiec

View full text Add to dashboard Cite

In this research, three variance ratio tests; namely the standard variance ratio test, the wild bootstrap multiple variance ratio test, and the non-parametric rank scores test are adopted to test the random walk hypothesis (RWH) of stock markets in Middle East and North Africa (MENA) region using most recent data from January 2010 to September 2012. The empirical results obtained by all three econometric tests show that the RWH is strongly rejected for Kuwait, Tunisia, and Morocco. However, the standard variance ratio test and the wild bootstrap multiple variance ratio test reject the null hypothesis of random walk in Jordan and Kingdom of Saudi Arabia (KSA), while non-parametric rank scores test do not. We may conclude that Jordan and KSA stock market are weak efficient. In sum, the empirical results suggest that return series in Kuwait, Tunisia, and Morocco are predictable. In other words, predictable patterns that can be exploited in these markets still exit. Therefore, investors may make profits in such less efficient markets.

show abstract

“…It was found that daily data indicate a high degree of efficiency in the US markets before crisis but the Croatian markets were inefficient but not at the highest level of confidence. Borges [3] [4] rejected the efficient market hypotheis for majority of the markets using Lo-Mackinlay's variance ratio test. Lee et al [5] used Cecchetti-Lam's multiple variance tests with bootstrap method and identified evidence for serial correlation for major curries except Korean one.…”

Section: Literature Reviewmentioning

confidence: 99%

Testing for Random Walk Behavior in Indian Bond Market

Babu¹

2017

TEL

View full text Add to dashboard Cite

This study examines the random walk behavior of Indian bond market. Bond indices published by Clearing Corporation of Indian (CCIL) were used in this study. The hypothesis is tested with multiple variance ratio tests from daily and weekly data, from 3-Jan.-2011 to 30-Dec.-2016. This paper also applies the bootstrap procedure on all the tests used because it shows desirable small sample properties under conditional heteroscedasticity. Variance test ratios show that Indian bond market does not follow random walk behavior.

show abstract

Random walk tests for the Lisbon stock market

Cited by 28 publications

References 17 publications

Some Further Evidence on the Behaviour of Stock Returns in India

Some Further Evidence on the Behaviour of Stock Returns in India

Do MENA stock market returns follow a random walk process?

Testing for Random Walk Behavior in Indian Bond Market

Contact Info

Product

Resources

About