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Random Walks in Stock Exchange Prices and the Vienna Stock Exchange

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Author Info
Huber, Peter (Institute for Advanced Studies, Vienna)

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Abstract

This paper uses the multiple variance ratio test procedure developed by Chow and Denning (1993) to test for a random walk of stock returns on the Austrian Stock Exchange. I find that with daily data the test rejects the random walk hypothesis at all conventional significance levels for each and every title and for both indeces tested. Individual shares, however, do seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices.

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File URL: http://www.ihs.ac.at/publications/eco/es-2.pdf
File Format: application/pdf
File Function: First version, 1995
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Publisher Info
Paper provided by Institute for Advanced Studies in its series Economics Series with number 2.

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Length: 21 pages
Date of creation: Jan 1995
Date of revision:
Handle: RePEc:ihs:ihsesp:2

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Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria

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G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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