VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW |
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| Authors: | Amélie Charles Olivier Darné |
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| Institution: | Audencia Nantes, School of Management;
LEMNA, University of Nantes |
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| Abstract: | Abstract. This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America. |
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| Keywords: | Random walk hypothesis Stock market efficiency Variance-ratio tests |
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