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

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Author Info
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.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 9 (2003)
Issue (Month): 3 (June)
Pages: 290-300
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Handle: RePEc:taf:eurjfi:v:9:y:2003:i:3:p:290-300

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Related research
Keywords: Emerging Markets; Random Walk Hypothesis; Stock Prices; Variance Ratio Tests;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Ayadi, O. Felix & Pyun, C. S., 1994. "An application of variance ratio test to the Korean securities market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 643-658, September. [Downloadable!] (restricted)
  2. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August. [Downloadable!] (restricted)
  3. Hochberg, Yosef, 1974. "Some generalizations of the T-method in simultaneous inference," Journal of Multivariate Analysis, Elsevier, vol. 4(2), pages 224-234, June. [Downloadable!] (restricted)
  4. Urrutia, Jorge L, 1995. "Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 18(3), pages 299-309, Fall.
  5. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
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  6. Dockery, E & Kavussanos, M G, 1996. "Testing the Efficient Market Hypothesis Using Panel Data, with Application to the Athens Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 3(2), pages 121-23, February. [Downloadable!] (restricted)
  7. Huber, Peter, 1997. "Stock Market Returns in Thin Markets: Evidence from the Vienna Stock Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 7(5), pages 493-98, October. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Maria Rosa Borges, 2008. "Efficient Market Hypothesis in European Stock Markets," Working Papers 2008/20, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  2. Maria Rosa Borges, 2007. "Random Walk Tests for the Lisbon Stock Market," Working Papers 2007/14, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  3. Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2009. "Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties," International Advances in Economic Research, Springer, vol. 15(1), pages 59-70, February. [Downloadable!] (restricted)
  4. 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!]
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