scholarly journals The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests

2009 ◽  
Vol 33 (2) ◽  
pp. 117-126 ◽  
Author(s):  
Amélie Charles ◽  
Olivier Darné
Keyword(s):  
Random Walk ◽  
Stock Markets ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Chinese Stock Markets

Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices

2016 ◽  
Vol 15 (3) ◽  
pp. 333-361 ◽  
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Random Walk ◽  
Stock Markets ◽  
Asset Prices ◽  
Extreme Values ◽  
Jel Classification ◽  
Stock Index ◽  
Variance Ratio ◽  
Stock Indices ◽  
Markov Random ◽  
Markov Random Walk

We document the presence of the random walk effect in stock indices and, at the same time, find that the constituent stocks of the indices are excessively volatile. This gives rise to a paradox in stock markets between the behaviour of the stock index and its constituent stocks. We address this phenomenon in this article and reconcile the seemingly contradictory inferences by extending the Binomial Markov Random Walk (BMRW) model. JEL Classification: C15, C58, G15

Variance Ratio Test of Random Walk in Indian Stock Market

2015 ◽  
Vol 2 (2) ◽  
pp. 89-107
Author(s):  
Saloni Gupta ◽  
Neha Bothra
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Variance Ratio Test ◽  
Indian Stock Market ◽  
High Degree ◽  
The Relationship

We conduct tests of the null hypothesis of a random walk at the aggregate level of market indices and disaggregate level of individual shares to the Indian stock market over various data periods and a comparison of two sub-periods namely the pre liberalization and the post liberalization period. For this, we use the Lo-MacKinlay (1988) variance ratio test. Although the oldest test i.e. the serial correlation coefficient test is also applied to the same data to establish the relationship between the two tests but its results are not elaborated in this paper. The strength of this paper lies in the voluminous data base and a powerful testing tool that it makes use of. It is observed that the market is highly inefficient at daily returns level, thus imbibing high degree of predictability in stock returns, and even the weekly returns show the existence of trend. Monthly returns, however, support the random walk hypothesis across all periods. Thus it is concluded that further refinement of reform measures is required.

scholarly journals Empirical Testing Of Random Walk Of Euro Exchange Rates: Evidence From The Emerging Markets

2011 ◽  
Vol 4 (4) ◽  
Author(s):  
Osamah M. Al-Khazali ◽  
Evangelos P. Koumanakos
Keyword(s):  
Random Walk ◽  
Emerging Markets ◽  
Exchange Rates ◽  
Middle Eastern ◽  
Variance Ratio ◽  
Empirical Testing ◽  
North African ◽  
Random Walk Hypothesis ◽  
Non Parametric ◽  
Power Properties

This paper utilizes the new non-parametric variance ratio tests based on signs and ranks to examine the random walk hypothesis of Euro exchange rates for 10 Middle Eastern and North African (MENA) currencies.  The results of the new- variance ratio tests reject the random walk hypothesis for all currencies except the Kuwaiti and the Emirate currencies.  Given the improved size and power properties of Wright’s (2000) ranks and signs tests, the results of the new variance ratio tests are robust to the results of the traditional LOMAC variance ratio tests. 

scholarly journals Random Walk in Emerging Asian Stock Markets

2016 ◽  
Vol 9 (1) ◽  
pp. 20
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Random Walk ◽  
Unit Root ◽  
Stock Prices ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Unit Root Tests ◽  
Optimal Test ◽  
Market Prices ◽  
Crisis Period ◽  
Random Walk Hypothesis

<p>The random walk hypothesis is an important area of research in finance and many tools have been proposed to investigate the behaviour of the fluctuations in stock prices. However, a detail study on emerging Asian stock markets which employ the various unit root tests has not been done. In this paper, we employ six different unit root tests such as the Augmented Dickey and Fuller test (1979), Phillips and Perron test (1988), Kwiatkowski-Phillips-Schmidt-Shin test(1992), Dickey-Fuller GLS (ERS) test (1996), Elliot-Rothenberg-Stock Point-Optimal test (1996) and Ng and Perron (2001) unit root tests on 10 emerging Asian stock markets to detect for the presence of a random walk in stock prices. We have conducted the unit root tests during different sub-sample time periods of global financial crisis to check for robustness. To be specific, we have found that during the overall sample period (2001-2015) 8 out of 10 Asian stock markets and during the pre-crisis period (2001-2007) all the 10 Asian stock market prices do follow random walk according to the unit root tests under consideration. However, during the crisis &amp; post-crisis period (2008-2015) we have found only 5 out of 10 Asian markets follow the random walk movement based on unit root tests.</p>

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