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Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test

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  1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
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  7. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
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  9. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
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  16. Tilak Abeysinghe & Gulasekaran Rajaguru, 2009. "A Gaussian Test for Cointegration," Microeconomics Working Papers 22013, East Asian Bureau of Economic Research.
  17. Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
  18. Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
  19. Cheteni, Priviledge, 2013. "Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa," MPRA Paper 56369, University Library of Munich, Germany.
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  27. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.
  28. Dominique Guégan & Marius Cristian Frunza, 2018. "Is the Bitcoin Rush Over?," Documents de travail du Centre d'Economie de la Sorbonne 18014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  29. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
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  31. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
  32. Ozkan, Oktay, 2021. "Impact of COVID-19 on stock market efficiency: Evidence from developed countries," Research in International Business and Finance, Elsevier, vol. 58(C).
  33. Subrata Roy, 2020. "Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence," Jindal Journal of Business Research, , vol. 9(2), pages 148-161, December.
  34. Ya-Wen Lai, 2023. "Impact of futures’ trader types on stock market quality: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 417-436, June.
  35. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
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  38. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  39. David, Géraldine & Oosterlinck, Kim & Szafarz, Ariane, 2013. "Art market inefficiency," Economics Letters, Elsevier, vol. 121(1), pages 23-25.
  40. Chen, Yingqi & Ba, Shusong & Yang, Qing & Yuan, Tian & Zhao, Haibo & Zhou, Ming & Bartocci, Pietro & Fantozzi, Francesco, 2021. "Efficiency of China’s carbon market: A case study of Hubei pilot market," Energy, Elsevier, vol. 222(C).
  41. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
  42. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
  43. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
  44. Amarnath Mitra & Vishwanathan Iyer, 2017. "Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?," IIM Kozhikode Society & Management Review, , vol. 6(1), pages 42-54, January.
  45. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
  46. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
  47. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
  48. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
  49. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
  50. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2011. "Small sample properties of alternative tests for martingale difference hypothesis," Economics Letters, Elsevier, vol. 110(2), pages 151-154, February.
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  54. Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
  55. Kaur, Gurbinder & Dhar, Joydip & Guha, Rangan Kumar, 2016. "Minimal variability OWA operator combining ANFIS and fuzzy c-means for forecasting BSE index," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 69-80.
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  58. Manolis Maragoudakis & Dimitrios Serpanos, 2016. "Exploiting Financial News and Social Media Opinions for Stock Market Analysis using MCMC Bayesian Inference," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 589-622, April.
  59. Choi, Gahyun & Park, Kwangyeol & Yi, Eojin & Ahn, Kwangwon, 2023. "Price fairness: Clean energy stocks and the overall market," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
  60. João Paulo Vieito & Wing-Keung Wong & Zhen-Zhen Zhu, 2016. "Could the global financial crisis improve the performance of the G7 stocks markets?," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1066-1080, March.
  61. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  62. 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.
  63. Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
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  68. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2013. "اختبار أثر التقلب العنقودي لمؤشر تداول باستخدام الارتباط الذاتي المدحرج [Test of Clustering Volatility of TASI index using Rolling Autocorrelation]," MPRA Paper 54630, University Library of Munich, Germany, revised 2013.
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