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Variance ratio tests of random walk: An overview

Author

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  • Amélie Charles

    (Audencia Recherche - Audencia Business School)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

Abstract

This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America.

Suggested Citation

  • Amélie Charles & Olivier Darné, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.
    • Handle: RePEc:hal:journl:hal-00771078
    DOI: 10.1111/j.1467-6419.2008.00570.x
    Note: View the original document on HAL open archive server: https://hal.science/hal-00771078
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