Testing the random walk hypothesis of stock indexes through varianceratio
DOI:
https://doi.org/10.21533/pen.v7.i1.1462Abstract
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.
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