Testing the random walk hypothesis of stock indexes through variance-ratio

Sadi Fadda

Abstract


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.

Keywords


Random Walk Hypothesis, Efficient Market, Variance Ratio, Stock Index

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References


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DOI: http://dx.doi.org/10.21533/pen.v7i1.212

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Copyright (c) 2019 Sadi Fadda

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ISSN: 2303-4521

Digital Object Identifier DOI: 10.21533/pen

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License