Some evidence of random walk behavior of Euro exchange rates using ranks and signs

Automatic variance ratio test under conditional heteroskedasticity

“…Recent empirical studies include Shamsuddin and Kim (2008) and Belaire-Franch and Opong (2005) on financial market efficiency; and Patro and Wu (2004) on financial return predictability. Since Lo and MacKinlay (1988) proposed its original form, the test has undergone a number of improvements.…”

Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties

“…If the null hypothesis is rejected, one can claim that the analyzed time series is not random walk, so the market is not efficient (Wright 2000, Belaire-Franch andOpong 2005).…”

How can defined contribution pension plans benefit from momentum and mean reversion?

“…6 The Jarque and Berra test is built as follows: under the null assumption, the time series is distributed as a normal distribution while under the alternative assumption it is not. 7 Looking at Tables 4 and 5 (see the Appendix), we notice that the empirical distributions of both datasets have a high kurtosis and a skewness different from 0. In this context and whatever the stock price index considered, the Jarque and Berra test concludes that the stock return distributions are non-normal.…”

“…7 Note that under H 0 ; the Jarque and Berra test is distributed as a v 2 a squared distribution with 2 degrees of freedom. 8 There exists a large panel of tests allowing the detection of heteroscedasticity in time series.…”

“…Nevertheless, the Lo and MacKinlay test tends to over-reject the null assumption[7]. To circumvent this drawback, Chow and Denning[14] suggest a multiple variance ratio test.…”