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The compass rose and random walk tests

  • Fang, Yue
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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(01)00063-9
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 39 (2002)
    Issue (Month): 3 (May)
    Pages: 299-310

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    Handle: RePEc:eee:csdana:v:39:y:2002:i:3:p:299-310
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
    2. Richardson, Matthew P & Smith, Tom, 1994. "A Unified Approach to Testing for Serial Correlation in Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(3), pages 371-99, July.
    3. 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, Society for Financial Studies, vol. 1(1), pages 41-66.
    4. Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.
    5. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
    8. James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," NBER Working Papers 1462, National Bureau of Economic Research, Inc.
    9. Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1559-1569, December.
    10. Jegadeesh, Narasimhan, 1991. " Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K," Journal of Finance, American Finance Association, vol. 46(4), pages 1427-44, September.
    11. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
    12. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    13. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
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