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Inférence fondée sur les statistiques des rendements de long terme

  • Cosme Vodounou
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    We study in a bivariate framework the statistical properties of the variance ratio test and t-statistic based on long period returns. Following Richardson and Stock (1989)with their approach K/T ¬ k, we show that the asymptotic distributions of those statistics are non-standard. Under the null hypothesis of market efficiency, we show in finite sample that our approximations are adequate as in Richardson and Stock (1989). Under various alternative hypotheses, the asymptotic power of the variance ratio test, as a function of k, increases up to some value, and then decreases. On the other hand, the power of the test based on the t-statistic decreases with k. Nous étudions dans un cadre bivarié les propriétés statistiques du ratio de variance et du rapport de Student fondés sur les rendements de K périodes. En suivant l'approche K/T ¬ k de Richardson et Stock (1989), nous montrons que les distributions asymtotiques obtenues sous l'hypothèse nulle de marché efficient et sous différentes alternatives sont non standards. Par simulations de Monte Carlo, nous montrons sous l'hypothèse nulle que les approximations proposées sont satisfaisantes à distance finie, corroborant les résultats de Richardson et Stock (1989). Sous les hypothèses alternatives retenues, la puissance du test fondé sur le ratio de variance augmente avec k atteint un maximum puis décroît. En revanche, la puissance du test fondé sur le rapport de Student est une fonction décroissante de k.

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    File URL: http://www.cirano.qc.ca/files/publications/98s-20.pdf
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    Paper provided by CIRANO in its series CIRANO Working Papers with number 98s-20.

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    Length: 41 pages
    Date of creation: 01 Jun 1998
    Date of revision:
    Handle: RePEc:cir:cirwor:98s-20
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