Stock market returns in thin markets: evidence from the Vienna Stock Exchange
Stock market returns in thin markets: evidence from the Vienna Stock Exchange
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DOI：
10.1080/096031097333358
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发表时间：
1997-10
期刊：
影响因子：
--
通讯作者：
P. Huber
中科院分区：
文献类型：
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作者：
P. Huber
本文利用Chow和Denning（1993）提出的多重方差比检验方法对维也纳证券交易所股票收益率的随机游走进行了检验。我发现，与日常数据的测试拒绝随机游走假设在所有传统的显着性水平的每一个标题和两个指数的测试。在1990年至1992年的子样本上测试这一假设表明，随着市场在制度上变得更加成熟，流动性更强，回报率接近随机游走。当考虑周收益时，个股似乎遵循随机游走，而这两个指数的假设都被拒绝。
This paper uses the multiple variance ratio test procedure developed by Chow and Denning (1993) to test for a random walk of stock returns on the Vienna Stock Exchange. I find that with daily data the test rejects the random walk hypothesis at all conventional significance levels for each and every title and for both indices tested. Testing the hypothesis on a subsample running from 1990 to 1992 suggests that, as the market becomes institutionally more mature and more liquid, returns approach a random walk. Individual shares seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices.