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Variance ratio tests of the random walk hypothesis for European emerging stock markets

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  • Graham Smith
  • Hyun-Jung Ryoo

Abstract

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.

Suggested Citation

  • Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 290-300.
    • Handle: RePEc:taf:eurjfi:v:9:y:2003:i:3:p:290-300
    DOI: 10.1080/1351847021000025777
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    References listed on IDEAS

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