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Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey

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  • Halime Temel Nalın
  • Sevinç Güler

Abstract

This paper investigates the weak form efficiency in the BRIC countries and Turkey with use of autocorrelation analysis, unit root tests, Johansen cointegration and Granger causality test. Monthly data covers the period from July 1997 to December 2013. Our findings indicate the efficiency among the stock markets in the weak form. The empirical findings indicate monthly closing prices of indices follow the random walk procedure. According to Granger causality and Johansen cointegration tests we found the long-run relationship between China and India, also China and Turkey.

Suggested Citation

  • Halime Temel Nalın & Sevinç Güler, 2015. "Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(55), pages 129-148, March.
    • Handle: RePEc:rej:journl:v:18:y:2015:i:55:p:129-148
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    More about this item

    Keywords

    Random Walk Theory; BRIC-T Countries; Unit Root; Johansen Cointegration; Causality.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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