The Random Walk Behaviour Of Stock Prices: A Comparative Study
: 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
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||11 Aug 2004|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ecm:feam04:540. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.