Variance ratio tests of the random walk hypothesis for European emerging stock markets |
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Authors: | Graham Smith Hyun-Jung Ryoo |
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Institution: | 1. Department of Economics, School of Oriental &2. African Studies, University of London, Thornhaugh Street, Russell Square, London WC1H 0XG, UK |
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Abstract: | The hypothesis that stock market price indices follow a random walk is tested for five European emerging markets, Greece, Hungary, Poland, Portugal and Turkey, using the multiple variance ratio test. In four of the markets, the random walk hypothesis is rejected because of autocorrelation in returns. For the Istanbul market, which had markedly higher turnover than the other markets in the 1990s, the stock price index follows a random walk. This contrasts with the results of earlier research, carried out for periods of lower turnover, which rejected the random walk hypothesis. |
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Keywords: | emerging markets random walk hypothesis stock prices variance ratio tests |
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