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A multiple variance ratio test using subsampling

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  • Whang, Yoon-Jae
  • Kim, Jinho

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  • Whang, Yoon-Jae & Kim, Jinho, 2003. "A multiple variance ratio test using subsampling," Economics Letters, Elsevier, vol. 79(2), pages 225-230, May.
  • Handle: RePEc:eee:ecolet:v:79:y:2003:i:2:p:225-230
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    References listed on IDEAS

    as
    1. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
    2. 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.
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    Cited by:

    1. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
    2. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2008. "Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions," Working Papers Series 173, Central Bank of Brazil, Research Department.
    3. Charles, Amélie & Darné, Olivier, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Economic Systems, Elsevier, vol. 33(2), pages 117-126, June.
    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 (AIUB), Office of Research and Publications (ORP), revised Jun 2008.
    5. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047, November.
    6. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics 1459, Faculty of Economics, University of Cambridge.
    7. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
    8. Regis Augusto Ely, 2011. "Returns Predictability and Stock Market Efficiency in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 571-584.
    9. Amélie Charles & Olivier Darné, 2009. "Variance-Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    10. Kim, Jae H., 2006. "Wild bootstrapping variance ratio tests," Economics Letters, Elsevier, vol. 92(1), pages 38-43, July.
    11. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
    12. Kian‐Ping Lim & Robert Brooks, 2011. "The Evolution Of Stock Market Efficiency Over Time: A Survey Of The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 69-108, February.
    13. Jean-Marie DUFOUR & Lynda KHALAF & Marcel VOIA, 2013. "Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability," Cahiers de recherche 13-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    14. Jae H. Kim, 2004. "Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test," Econometric Society 2004 Australasian Meetings 98, Econometric Society.
    15. Shyh-wei Chen, 2009. "Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1296-1307.
    16. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
    17. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
    18. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2006. "Bootstrap tests of multiple inequality restrictions on variance ratios," Economics Letters, Elsevier, vol. 91(3), pages 343-348, June.
    19. Kim, Jae H., 2009. "Automatic variance ratio test under conditional heteroskedasticity," Finance Research Letters, Elsevier, vol. 6(3), pages 179-185, September.
    20. Roberto Ortiz & Mauricio Contreras & Marcelo Villena, 2015. "On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects," Papers 1510.03926, arXiv.org.

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