Regulated Variance Ratio Unit Root Tests

2012 ◽  
Author(s):  
Mirza Trokic
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Variance Ratio ◽  
Ratio Unit

On the performance of the variance ratio unit root tests with flexible Fourier form

2020 ◽  
pp. 1-20
Author(s):  
Burak A. Erog̃lu ◽  
Selim Yıldırım
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Variance Ratio ◽  
Ratio Unit

scholarly journals Wavelet energy ratio unit root tests

2016 ◽  
Vol 38 (1) ◽  
pp. 69-94 ◽  
Author(s):  
Mirza Trokić
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Energy Ratio ◽  
Wavelet Energy ◽  
Ratio Unit

A Comparison of Unit Root Tests and Variance Ratio Tests of Random Walk in Tourism: The Case of Cambodia

2008 ◽  
Author(s):  
A. S. M. Sohel Azad ◽  
Vannarith Chheang
Keyword(s):  
Random Walk ◽  
Unit Root ◽  
Unit Root Tests ◽  
Variance Ratio

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5) ◽  
pp. 29 ◽  
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

Wavelet Power: Wavelet Energy Ratio Unit Root Tests

2012 ◽  
Author(s):  
Mirza Trokic
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Energy Ratio ◽  
Wavelet Energy ◽  
Ratio Unit

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5(J)) ◽  
pp. 29-42
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

An Extended Class of Unit Root Tests for Relative Stock Prices

2014 ◽  
Author(s):  
Shlomo Zilca
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Unit Root Tests ◽  
Extended Class

Survey on structural breaks and unit root tests

2020 ◽  
Vol 58 ◽  
pp. 96-141
Author(s):  
A. Skrobotov ◽  
◽  
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Unit Root Tests

scholarly journals Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests

2021 ◽  
Author(s):  
Gilbert V. Nartea ◽  
Harold Glenn A. Valera ◽  
Maria Luisa G. Valera
Keyword(s):  
Unit Root ◽  
Stock Prices ◽  
Mean Reversion ◽  
Unit Root Tests ◽  
Asia Pacific ◽  
New Evidence
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