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The Random Walk Behaviour Of Stock Prices: A Comparative Study


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  • Arusha Cooray


: This paper tests the random walk hypothesis for the stock markets of the US, Japan, Germany, the UK, Hong Kong and Australia using unit root tests and spectral analysis. The results based upon the augmented Dicky Fuller (1979) and Phillips-Perron (1988) tests and spectral analysis find that all markets exhibit a random walk. The multivariate cointegration tests based upon the Johansen Juselius (1988, 1990) methodology indicates that all six markets share a common long run stochastic trend. The vector error correction models suggest a short run relationship between the US, Germany, Australia and the rest of the markets implying that these countries can gain in the short run by diversifying their portfolios

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 540.

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Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:feam04:540

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Keywords: stock prices; random walk; spectral analysis;

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Cited by:
  1. Shahram Fattahi & Omid Ranjbar, 2010. "Weak- Form Efficiency in the German Stock Market," Iranian Economic Review, Economics faculty of Tehran university, vol. 15(3), pages 77-94, fall.


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