Variance ratio tests of the random walk hypothesis for European emerging stock markets
Variance ratio tests of the random walk hypothesis for European emerging stock markets
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DOI：
10.1080/1351847021000025777
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发表时间：
2003-06
期刊：
影响因子：
--
通讯作者：
Graham Smith;Hyun-Jung Ryoo
中科院分区：
文献类型：
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作者：
Graham Smith;Hyun-Jung Ryoo
假设股票市场价格指数遵循随机游走测试五个欧洲新兴市场，希腊，匈牙利，波兰，葡萄牙和土耳其，使用多重方差比检验。在四个市场中，随机游走假设被拒绝，因为收益的自相关性。伊斯坦布尔市场在1990年代的成交量明显高于其他市场，股票价格指数遵循随机游走。这与早期的研究结果形成鲜明对比，该研究针对较低的营业额时期进行，拒绝了随机游走假设。
The hypothesis that stock market price indices follow a random walk is tested for five European emerging markets, Greece, Hungary, Poland, Portugal and Turkey, using the multiple variance ratio test. In four of the markets, the random walk hypothesis is rejected because of autocorrelation in returns. For the Istanbul market, which had markedly higher turnover than the other markets in the 1990s, the stock price index follows a random walk. This contrasts with the results of earlier research, carried out for periods of lower turnover, which rejected the random walk hypothesis.