An Application of Variance-Ratio Test of Five Asian Stock Markets

1999 ◽  
Vol 02 (03) ◽  
pp. 301-315 ◽  
Author(s):  
M. Imam Alam ◽  
Tanweer Hasan ◽  
Palani-Rajan Kadapakkam
Keyword(s):  
Hong Kong ◽  
Sri Lanka ◽  
Emerging Market ◽  
Stock Index ◽  
Ratio Test ◽  
Variance Ratio ◽  
Long Period ◽  
Variance Ratio Test ◽  
New Evidence ◽  
Stock Index Returns

In the present study the variance-ratio test developed by Lo and MacKinlay (1988, and 1989) is applied to monthly stock index returns of five Asian markets that are in different stages of development. The markets examined are Bangladesh, Hong Kong, Malaysia, Sri Lanka and Taiwan. Although previous studies have examined the efficiency issues of the markets in Hong Kong, Malaysia, Sri Lanka and Taiwan, the empirical evidence is often contradictory. The current study looks at the efficiency issues of these markets over a sufficiently long period of time (November 1986 — December 1995) using more appropriate methodology and type of data. Also, this study is the first to provide new evidence on an emerging market in Asia — Bangladesh. Results reported in this study indicate that the index return series of all the sample markets except Sri Lanka do follow a random walk.

Random walks and monetary velocity in the G-7 countries: new evidence from a multiple variance ratio test

1998 ◽  
Vol 30 (5) ◽  
pp. 569-578
Author(s):  
David Karemera ◽  
Vera Harper ◽  
Victor Iwuagwu Oguledo
Keyword(s):  
Random Walks ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
New Evidence

scholarly journals Testing the Predicting Ability of Technical Analysis Classical Patterns in the Egyptian Stock Market

2017 ◽  
Vol 6 (3) ◽  
pp. 94 ◽  
Author(s):  
Osama El-Ansary ◽  
Dina Mohssen
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Emerging Market ◽  
Technical Analysis ◽  
Expected Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Empirical Results ◽  
Variance Ratio Test ◽  
Future Return

As an emerging market, Egyptian stock market is characterized by inefficiency which is confirmed empirically in this research. This provoked us to test the ability of technical analysis classical patterns in predicting the future returns through calculating the expected price target consequently the expected future return and compare it with the actual return.Statistical techniques and models including Box Pierce (Ljung-Box), Variance ratio test, Runs test, and t-test bootstrapping technique have been applied to test the research proposed hypotheses. The empirical results revealed that the Egyptian stock market is inefficient as returns don’t follow random walk and are dependent, it is found also that the actual returns have significantly exceeded the expected returns of the detected patterns indicating that classical patterns can perfectly predict the direction of the price movements rather than the exact price targets.

scholarly journals Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis

2018 ◽  
Vol 13 (1) ◽  
pp. 267-289 ◽  
Author(s):  
Buerhan Saiti ◽  
Nazrul Hazizi Noordin
Keyword(s):  
Hong Kong ◽  
Southeast Asian ◽  
Multivariate Garch ◽  
Portfolio Diversification ◽  
Stock Index ◽  
Content Type ◽  
Asian Region ◽  
The Usa ◽  
The Uk ◽  
Stock Index Returns

Purpose The purpose of this paper is to quantify the extent to which the Malaysia-based equity investors can benefit from diversifying their portfolio into the conventional and Islamic Southeast Asian region and the world’s top ten largest equity indices (China, Japan, Hong Kong, India, the UK, the USA, Canada, France, Germany and Switzerland). Design/methodology/approach The multivariate GARCH-dynamic conditional correlation is deployed to estimate the time-varying linkages of the selected conventional and Islamic Asian and international stock index returns with the Malaysian stock index returns, covering approximately eight years daily starting from 29 June 2007 to 30 June 2016. Findings In general, in terms of volatility, the results indicate that both Asian and international Islamic stock indices are more or less volatile than its conventional counterparts. From the correlation analysis, we can see that both the conventional and Islamic MSCI indices of Japan provide more diversification benefits compared to Southeast Asian region, China, Hong Kong and India. Meanwhile, in terms of international portfolio diversification, the results tend to suggest that both the conventional and Islamic MSCI indices of the USA provide more diversification benefits compared to the UK, Canada, France, Germany and Switzerland. Originality/value The findings of this paper may have several significant implications for the Malaysia-based equity investors and fund managers who seek for the understanding of return correlations between the Malaysian stock index and the world’s largest stock market indices in order to gain higher risk-adjusted returns through portfolio diversification. With regard to policy implications, the findings on market shocks and the extent of the interdependence of the Malaysian market with cross-border markets may provide some useful insights in formulating effective macroeconomic stabilization policies in the efforts of preventing contagion effect from deteriorating the domestic economy.

A simple multiple variance ratio test

1993 ◽  
Vol 58 (3) ◽  
pp. 385-401 ◽  
Author(s):  
K.Victor Chow ◽  
Karen C. Denning
Keyword(s):  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test
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