Testing the random walk hypothesis of stock indexes through variance-ratio
DOI:
https://doi.org/10.21533/pen.v7.i1.1481Abstract
The Random Walk is considered to be a tool trying to explain the characteristic of movement of prices in the financial markets. It can also be seen in the form of a trial to demonstrate the non-predictability of future changes in the financial markets through reliance on the characteristics identified based on past price changes. In this paper used is the variance-ratio test initiated by Lo and MacKinlay to test the Random Walk Hypothesis for a more recent data of eleven Stock Indexes, seen as main indexes of the current market
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
