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An application of variance ratio test to the Korean securities market

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Author Info
Ayadi, O. Felix
Pyun, C. S.
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 18 (1994)
Issue (Month): 4 (September)
Pages: 643-658
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Handle: RePEc:eee:jbfina:v:18:y:1994:i:4:p:643-658

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  1. Kausik Chaudhuri & Yangru Wu, 2000. "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets," Working Papers 2000-3, University of Sydney, Department of Economics. [Downloadable!]
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  2. Benjamin Miranda Tabak, 2002. "The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case," Working Papers Series 58, Central Bank of Brazil, Research Department. [Downloadable!]
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  3. Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 93-107, January. [Downloadable!] (restricted)
  4. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  5. Abullah M. Noman & Minhaz U. Ahmed, 2008. "Efficiency of the foreign exchange markets in South Asian Countries," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-18, American International University-Bangladesh, Office of Research and Publications (ORP), revised Jun 2008. [Downloadable!]
  6. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "The Effects of the Brazilian ADRs Program on Domestic Market Efficiency," Working Papers Series 43, Central Bank of Brazil, Research Department. [Downloadable!]
  7. Jorge Belaire-Franch & Stanley McGreal & Kwaku K. Opong & James R. Webb, 2007. "A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices," International Real Estate Review, Asian Real Estate Society, vol. 10(2), pages 94-112. [Downloadable!]
  8. Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," European Journal of Finance, Taylor and Francis Journals, vol. 9(3), pages 290-300, June. [Downloadable!] (restricted)
  9. Kin Lam & May Chun Mei Wong & Wing-Keung Wong, 2005. "New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model," Departmental Working Papers wp0514, National University of Singapore, Department of Economics. [Downloadable!]
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