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On Testing the Random-Walk Hypothesis: A Model-Comparison Approach

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  1. Raper, Kellie Curry & Thornsbury, Suzanne & Aguilar, Cristobal, 2009. "Regional Wholesale Price Relationships in the Presence of Counter-Seasonal Imports," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 41(1), pages 271-290, April.
  2. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
  3. Cesar Rufino, 2013. "Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 50(1), pages 57-82, June.
  4. Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.
  5. Marcos Alvarez Díaz & Lucy Amigo Dobano & Francisco Rodríguez de Prado, "undated". "Taxing on Housing: A Welfare Evaluation of the Spanish Personal Income Tax," Studies on the Spanish Economy 142, FEDEA.
  6. 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.
  7. 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.
  8. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
  9. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
  10. A.S.M. Sohel Azad, 2009. "Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China, Japan and South Korea," Asian Economic Journal, East Asian Economic Association, vol. 23(1), pages 93-118, March.
  11. Kian-Ping Lim & Muzafar Shah Habibullah & Melvin J. Hinich, 2009. "The Weak-form Efficiency of Chinese Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 133-163, May.
  12. Madhavi Latha Challa & Venkataramanaiah Malepati & Siva Nageswara Rao Kolusu, 2020. "S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
  13. G. Sheelapriya & R. Murugesan, 2014. "Random walk analysis with multiple structural breaks: Case study in emerging market of S&P BSE sectoral indices stocks," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 4(11), pages 503-513, November.
  14. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
  15. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
  16. Zhou, Wei-Xing & Sornette, Didier, 2004. "Antibubble and prediction of China's stock market and real-estate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 243-268.
  17. Arie Preminger & Uri Ben-zion & David Wettstein, 2007. "The extended switching regression model: allowing for multiple latent state variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 457-473.
  18. Nauzer Balsara & Jason Chen & Lin Zheng, 2009. "Profiting from a contrarian application of technical trading rules in the US stock market," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 97-123, June.
  19. Siva Kiran & Prabhakar Rao.R, 2019. "Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(72), pages 60-77, June.
  20. Arie Preminger & Uri Ben-Zion & David Wettstein, 2006. "Extended switching regression models with time-varying probabilities for combining forecasts," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 455-472.
  21. Xiangmei Fan & Yanrui Wu & Nicolaas Groenewold, 2003. "The Stock Return-volume Relation and Policy Effects: The Case of the Chinese Energy Sector," Economics Discussion / Working Papers 03-15, The University of Western Australia, Department of Economics.
  22. Xi Zhang & Jiawei Shi & Di Wang & Binxing Fang, 2018. "Exploiting Investors Social Network for Stock Prediction in China's Market," Papers 1801.00597, arXiv.org.
  23. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
  24. Chiang, Shu-Mei & Lee, Yen-Hsien & Su, Hsin-Mei & Tzou, Yi-Pin, 2010. "Efficiency tests of foreign exchange markets for four Asian Countries," Research in International Business and Finance, Elsevier, vol. 24(3), pages 284-294, September.
  25. Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012. "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, vol. 23(1), pages 122-137.
  26. Dat Bue Lock, 2007. "The China A shares follow random walk but the B shares do not," Economics Bulletin, AccessEcon, vol. 7(9), pages 1-12.
  27. Muneer Shaik & S. Maheswaran, 2017. "Market Efficiency of ASEAN Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(2), pages 109-122, February.
  28. Long, Wen & Mok, Henry M.K. & Hu, Yan & Wang, Huiwen, 2009. "The style and innate structure of the stock markets in China," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 224-242, April.
  29. repec:ebl:ecbull:v:7:y:2007:i:9:p:1-12 is not listed on IDEAS
  30. Francesco Guidi & Rakesh Gupta, 2011. "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance finance:201113, Griffith University, Department of Accounting, Finance and Economics.
  31. 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.
  32. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
  33. Mamdouh Abdulaziz Saleh Al-Faryan & Everton Dockery, 2021. "Testing for efficiency in the Saudi stock market: does corporate governance change matter?," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 61-90, July.
  34. Eduardo Jose Araujo Lima & Benjamin Miranda Tabak, 2004. "Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 255-258.
  35. Adnan Javed & Muhammad Rafiq & Uzma Atta & Muhammad Atiq, 2009. "Predictability Of Returns: A Case Study Of Karachi Stock Exchange, Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 1(1), pages 25-28, April.
  36. Ali F. Darrat & Mahmoud Haj, 2001. "Further Evidence on the Link Between Finance and Cyclical Fluctuations," Working Papers 0139, Economic Research Forum, revised 12 2001.
  37. Chang, Eui Jung & Lima, Eduardo Jose Araujo & Tabak, Benjamin Miranda, 2004. "Testing for predictability in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 295-316, September.
  38. Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
  39. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
  40. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
  41. Kian-Ping Lim & Robert Brooks, 2009. "Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 147-155.
  42. Shahram Fattahi & Omid Ranjbar, 2010. "Weak- Form Efficiency in the German Stock Market," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 15(3), pages 77-94, fall.
  43. Robert G. Biscontri, 2012. "A Radial Basis Function Approach To Earnings Forecast," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 1-18, January.
  44. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
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