Testing the random walk hypothesis of stock indexes through variance-ratio

Abstract

The Random Walk is considered to be a tool trying to explain the characteristic of movement of prices in the financial markets. It can also be seen in the form of a trial to demonstrate the non-predictability of future changes in the financial markets through reliance on the characteristics identified based on past price changes. In this paper used is the variance-ratio test initiated by Lo and MacKinlay to test the Random Walk Hypothesis for a more recent data of eleven Stock Indexes, seen as main indexes of the current market.

A New Look at Weekdays Effect of Stock Prices in the Weak Form: Evidence from Nigerian Stock Exchange

“…Comparing the findings of this study with those of earlier studies elsewhere, the results of the tests conducted seem to be consistent with the findings of [14], who examined random work hypothesis in Istanbul stock exchange from 2000 to 2013 with ADF unit root and run test. The results are also in agreement with the findings of [16], the study tested sector market efficiency of the dynamics in Moscow but is not consistent with the work of [18,26,31] that found market inefficiency in Europe, Kuwait and Saudi Arabia respectively. In the Nigerian context, the results of this research is not in agreement with that of [5] that investigated weak form market efficiency in the Nigerian stock exchange with partial autocorrelation and run test techniques and found inefficiency in the stock market.…”

“…In testing EMH in the weak form, several studies result have shown random walk in stock markets outside the Nigerian stock exchange; including the work of [13,14,15,16]. Others outside the Nigerian stock market did not found random walk; including [17,18,19,20,21]. Only few researches have investigated EMH in the weak form in the Nigeria stock market.…”

Formation of an innovative concept of management on the basis of reconstruction of genetic algorithm of management technology

“…A new direction in the development of innovation dynamics in the context of genetic cyclic theories became possible through researches of scientific achievements of such prominent scientists as: Boldov [4], Bushuyev [5], Martynyuk [16], Sadi Fadda [20] and many others. Which formed a new vision of the laws of the development of the uneven universe, the theory of systems development, the theory of genetic-cyclic development of social, economic and social phenomena from analytical-structural statics to cyclical dynamics and the formation of the basis of the genetic structure of economic and social processes outside and inside the system.…”

“…Results of the fuzzy expression Mamdani are traditionally defused by the method of the center of gravity [4]. The conclusions in the form of the Momdani algorithm mathematically can be in such a way [5], [20]:…”

Transmission power optimization of high speed 32 channels×12.8 Tbps CWDM based on multi-span SSMF using RZ modulation format

“…it's attention-grabbing to diminish likelihood of an error for the full network, and analysis of system is optimized for all channels in an exceedingly network. Coaser wavelength division electronic device (CWDM) acting rationalization the performing artist breathing and therefore the future solutions for optical networks seeable of its capability of standard change, a transparency, flexibility, efficiency, responsibility and protection [1][2][3][4]. Optical systems of transmission of knowledge of 10Gbit/s and additional need correct compensation of dispersion and therefore the cautious canal project.…”